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Re: Jamshidian engine with start delay

Posted by Peter Caspers-4 on May 18, 2013; 2:49pm
URL: http://quantlib.414.s1.nabble.com/Jamshidian-engine-with-start-delay-tp14252p14262.html

ok, I have extended the test suite here

https://github.com/pcaspers/quantlib/commit/4e5a10ef9c45e940965316a3c7c4d698b3906e1b

(the commits regarding the changes in the library were

https://github.com/pcaspers/quantlib/commit/e8b5912cac2e236fe59a885e8cd1e2ed9243cc47
https://github.com/pcaspers/quantlib/commit/019f37a498846d9a6e89a897300f126c01d6ef86
https://github.com/pcaspers/quantlib/commit/e16b4ea5ffbfe33bd6acd0ee6cb3ecd8a43f72a4

and the doc was here

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2246054

)

please just tell me if I can do anything else.

regards
 Peter

Ferdinando Ametrano <[hidden email]> writes:

> On Wed, May 15, 2013 at 9:03 PM, Peter Caspers <[hidden email]> wrote:
>
>     We could maybe produce cached
>     values with the old engine for a test case with expiry = start date
>     before moving to the new engine.
>
>
> agreed, as far as I am concerned

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