Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Boundary-condition-for-each-time-step-in-finite-difference-engine-tp14449p14454.html
Hi,
I don't think it supports time-dependent values as of now. You
would probably have to modify its setTime() method (which currently
does nothing) so that it sets the value depending on the passed time
(assuming that in this respect, the new framework still works as the
old one---I've fallen quite a bit behind on that part of the code).
The interface of the setTime() method can't change (it's inherited),
so you'll have to pass the data it needs to the constructor of your
instance.
Hope this helps,
Luigi
On Wed, Jul 17, 2013 at 7:42 AM, Haoyun XU <
[hidden email]> wrote:
> Hi,
>
> I am considering pricing daily monitored barrier options with QuantLib. For
> this to work, I need to set up boundary conditions depending on time steps.
> More specifically, barriers are only active at specified steps (day end).
>
> I wonder how can I do this? Does the FdmDirichletBoundary class support
> different boundary & boundary values at different time steps?
>
> Many thanks!
>
> Best,
> Henry
>
>
>
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