Posted by
Andreas Spengler-2 on
Nov 27, 2010; 10:41pm
URL: http://quantlib.414.s1.nabble.com/Black-Scholes-Process-required-in-MCHimalayanEngine-tp12097p12103.html
Am 27.11.2010 22:22, schrieb Luigi Ballabio:
> I'd change the constructor to take a generic process and a handle to
> a discount curve, and use the first for path generator ad the second
> for discounting the payoff. I'd be grateful if you contributed the
> resulting code.
Gladly. However, instead of changing the interface for the affected
Engine classes, I would rather, as stated in my other mail, propose to
pull up the riskFreeRate member of GeneralizedBlackScholesProcess to the
StochasticProcess class and add another parameter (empty by default) in
e.g. GeometricBrownianMotionProcess' or StochasticProcessArray's
constructor.
One could then check in all relevant situations, whether riskFreeRate
contains a valid object...
------------------------------------------------------------------------------
Increase Visibility of Your 3D Game App & Earn a Chance To Win $500!
Tap into the largest installed PC base & get more eyes on your game by
optimizing for Intel(R) Graphics Technology. Get started today with the
Intel(R) Software Partner Program. Five $500 cash prizes are up for grabs.
http://p.sf.net/sfu/intelisp-dev2dev_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev