Posted by
Andreas Spengler-2 on
Nov 29, 2010; 7:15pm
URL: http://quantlib.414.s1.nabble.com/Black-Scholes-Process-required-in-MCHimalayanEngine-tp12097p12105.html
Am 29.11.2010 17:16, schrieb Luigi Ballabio:
> 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.
I second that, however I found another problem with using the
GeometricBrownianMotionProcess as is: it inherits an otherwise empty
time(const Date&) method from StochasticProcess which simply QL_FAILs...
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