Quantlib Finite Difference 2 dimension

[Pushpendu Chakraborty]

How can I implement 2 dimension finite difference model in Quantlib ? Test code showed equity option with one dimension only I believe.

 

I would like to specify initial and boundary conditions and use Crank Nicholson for linear algebra part .

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[Klaus Spanderen-2]

Hi

E.g. the test BasketOptionTest::testEuroTwoValues is using a two dimensional
finite difference model via the pricing engine Fd2dBlackScholesVanillaEngine,
The test suite FdHestonTest belong to the same category.

regards
Klaus

On Friday, March 06, 2015 04:31:50 PM Pushpendu Chakraborty wrote:
> How can I implement 2 dimension finite difference model in Quantlib ? Test
> code showed equity option with one dimension only I believe.
>
> I would like to specify initial and boundary conditions and use Crank
> Nicholson for linear algebra part .


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by Intel and developed in partnership with Slashdot Media, is your hub for all
things parallel software development, from weekly thought leadership blogs to
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[Pushpendu Chakraborty]

Thanks Klaus for the info.

 

Is there any comprehensive documentation for finite difference implementation ? It is quite daunting to look at without any UML or documentation .

On Sat, Mar 7, 2015 at 3:30 AM, Klaus Spanderen <[hidden email]> wrote:

Hi

E.g. the test BasketOptionTest::testEuroTwoValues is using a two dimensional
finite difference model via the pricing engine Fd2dBlackScholesVanillaEngine,
The test suite FdHestonTest belong to the same category.

regards
Klaus

On Friday, March 06, 2015 04:31:50 PM Pushpendu Chakraborty wrote:
> How can I implement 2 dimension finite difference model in Quantlib ? Test
> code showed equity option with one dimension only I believe.
>
> I would like to specify initial and boundary conditions and use Crank
> Nicholson for linear algebra part .

------------------------------------------------------------------------------
Dive into the World of Parallel Programming The Go Parallel Website, sponsored
by Intel and developed in partnership with Slashdot Media, is your hub for all
things parallel software development, from weekly thought leadership blogs to
news, videos, case studies, tutorials and more. Take a look and join the
conversation now. http://goparallel.sourceforge.net/
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