Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Black-Scholes-Process-required-in-MCHimalayanEngine-tp12097p12106.html
On Mon, 2010-11-29 at 20:15 +0100, Andreas Spengler wrote:
> 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...
Right---the date/time conversion. Hmm. For the time being, you might
have the process take a DayCounter and a referenceDate, and implement
time() in terms of those.
Sigh. We'll have to rethink this stuff one day...
Luigi
--
Better to have an approximate answer to the right question than a
precise answer to the wrong question.
-- John Tukey as quoted by John Chambers
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