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Hi Sad
you might have noticed that I'm using quite a few of your classes lately:
Exercise, DiffusionProcess, TimeGrig, etc.
I'm especially interested in the medium term to "merge" into the Lattice
framework the finite difference approach along with the tree based approach.
I've also added a few binomial trees that I coded for a course. A few
things are not completely clear to me, and are stopping me from further
work with the Lattice framework.
1) what is the addTimes method in charge of?
2) in general I see the rollback procedure too deeply encapsulated, not
allowing easy intermediate rollback. Am I wrong? do you have a suggestion?
E.g. I would like to perform a so-called black-scholes adjustment to all
binomial trees, and that is an adjustment you perform only at the first
rollback (T-1*dt), then you roll all the way back as usual. I'm quite
confused where I could perform such adjustment
On a different topic: I would like to have a date interface for
DiffusionProcess, along with the existing time interface. This is quite
natural and easy when you take a look at the current BlackScholesProcess
that accepts term structures as input. It is not that easy for the
OrnsteinUhlenbeckProcess, at least for me considering the way it is used in
the model dynamics.
I performed a cursory look at the code, but where
OrnsteinUhlenbeckProcesses are instantiated there are no Dates or
TermStructure around providing the data I would need, basically the origin
date and the dayCounter.
BTW to make OrnsteinUhlenbeckProcess accept time dependent parameters would
allow to have interest rate models with non-flat vol and mean reversion
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