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Hi all,
while I'm happy with the recent trend of quarterly releases
(with the addition of the occasional bug-fix release :) I've been
thinking whether we should aim at increasing the minor version number
as well.
As the Monte Carlo framework is the part that most looks like being
near a decent status, I think it could be a good candidate for making
its interface stable, wrapping it up and calling it 0.4.0.
However, the MC framework does have a number of open issues to be
solved before calling it stable, such as:
- the fact that the Path class stores drift and diffusion instead of
the asset value. Apart from the inconvenience of having to reconstruct
prices, this has the shortcoming that it is currently hard-coded in the
path generator (and the path) that the given stochastic process
describes the evolution of log(s). Therefore, processes such as square
root cannot be used.
- some sort of multi-diffusion process should be defined so that the
single diffusion processes and their correlation could be stored
together in one structure.
- I'm sure Nando will have quite a few suggestion for further
additions. The ones that imply an interface change should be singled
out from the ones that can simply be implemented later on top of the
basic framework, so that we don't set outselves a nice but impossible
goal for the milestone :) This might also apply to Neil's least-square
Monte Carlo, whose stabilization could be postponed.
Toughts?
Later,
Luigi
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