Hi all
Maxim wrote:
>To start with I'll write two examples:
>
>BSM European Option Test:
> Goal: tests errors of the solutions using different methods.
>
>Computes and compares European call value using BSM formula, Monte-Carlo
>and Finite-Differences method, displays relative error.
>Tests put-call parity.
>
>Hedging error example:
>Goals: shows usage of the QL for experimental study.
>
>Computes profit/loss of the short European option position due to
>discrete hedging.
I've seen you committed these two examples to the QuantLib CVS. Thank you.
>It would be nice to receive your example ideas.
You may take a look at the QuantLib-Python test suite
(
http://cvs.sourceforge.net/cgi-bin/viewcvs.cgi/quantlib/QuantLib-Python/QuantLib/test/).
Even if you're not familiar with Python the code is quite readable.
ciao -- Nando
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