Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Black-Scholes-Process-required-in-MCHimalayanEngine-tp12097p12104.html
On Sat, 2010-11-27 at 23:41 +0100, Andreas Spengler wrote:
> 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.
Hmm. I'm not sure I would do that. For one thing, even when using the
Black-Scholes model, one might want to use a different curve for the
discount; asking the process for the risk-free rate would prevent that.
Furthermore, I'm not sure that a riskFreeRate method belongs to the
generic StochasticProcess interface.
Luigi
--
Blessed is the man who, having nothing to say, abstains from giving
wordy evidence of the fact.
-- George Eliot
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