Greetings,
On Wed, 2008-01-02 at 13:40 -0800, aedallan wrote:
> Hi, I am trying to put together a quick benchmarking code using quantlib for
> euro puts with the FDEuropeanEngine. It's mostly done using the
> EquityOption.cpp example but I haven't used ql before today and have limited
> knowledge of c++ so it's a bit uphill. Any help much appreciated.
>
> Can someone tell me how to set the price range (is is linear of log scale?)
> and secondly how to fiddle with the solver? Crank Nicolson seems to be
> default.
At this time, this is not possible. The FDEuropeanEngine class should be
modified so that it takes a suggested range (in the current
implementation, the price range is logarithmic and goes 4 sigma either
side of the current underlying price, sigma being the volatility for the
square root of the residual time) and a suggested solver. The range
should be passed to the constructor; the solver should be passed as a
template argument to the class. Do you think you can have a try?
> PS. Is extracting all values from the solver easily done? Seems like a waste
> of information that only NPV is available...
The values at t=0 are available, even though it might not be obvious.
You can retrieve them from the option with:
SampledCurve values = option.result<SampledCurve>("priceCurve");
Later,
Luigi
--
Every solution breeds new problems.
-- unknown
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