On Wed, 2009-01-28 at 06:40 -0800, kryp33 wrote:
> What is the easiest way to implement the following in QuantLib?
>
> I need to find an option price assuming that the process is defined as
> dR=SQRT(R)*Sigma*dZ
>
> I found the class SquareRootProcess, but I cannot plug it into example in
> QuantLib EquityOption,
> Since pricing engines there expect that the stochastic process should be
> derived from class GeneralizedBlackScholesProcess, but SquareRoot process
> derived from StochasticProcess1D.
The easiest way would be to modify (or clone and modify) the engine you
want so that it accepts a SquareRootProcess. The path generation
already works with it; the reason a BS process is required was to get
the required discount factors from it. If you pass your engine both a
square-root process and a discount curve, you should be ok.
Luigi
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