Re: Boundary condition for each time step in finite difference engine

[清馨光华]

do you considering the problem based on the black-schools model or other stochastic volatility model?

 

 

 

Sent from Windows Mail

 

From: Haoyun XU
Sent: ‎Wednesday‎, ‎17‎ ‎July‎ ‎2013 ‎3‎:‎13‎ ‎PM
To: [hidden email]

 

Hi,

I am considering pricing daily monitored barrier options with QuantLib. For this to work, I need to set up boundary conditions depending on time steps. More specifically, barriers are only active at specified steps (day end). 

I wonder how can I do this? Does the FdmDirichletBoundary class support different boundary & boundary values at different time steps?

Many thanks!

Best,

Henry

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