Using BlackScholesProcess

[SADLI Karim-Olivier]

Hi,

I have a question on the use of the BlackScholesProcess :
If I want to simulate a stock price at time t1 from t0, the next() function on the pathgenerator class execute the following line

        next_.value.drift()[i] = dt * diffProcess_->drift(t, asset_);

The drift function of the BlackScholesProcess class calculate an instaneous forward Rf(t1) rate at time t1
So the stock price at time t1 will be S(t1) = S(t0) * exp[(Rf(t1) - ....]

What we want to simulate is in fact S(t1) = S(t0) * exp[(ZY(t0->t1) - ....] where ZY(t0->t1) is the forward between t0 and t1

Is there a possibility to take account for the range t1-t0 in the BlackScholesProcess class ?

Thanks

Karim-Olivier