Re: Boundary condition for each time step in finite difference engine

Posted by Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/Boundary-condition-for-each-time-step-in-finite-difference-engine-tp14449p14457.html

Hi

 

you might want to consider to use Peter's FdmTimeDepDirichletBoundary, which allows you to specify a time dependent value for the Dirichlet boundary condition.

 

If your barrier is only monitor using the closing prices but not with any intra day quotes then maybe you should only use one time step per day.

 

regards

Klaus

 

On Wednesday, July 17, 2013 01:42:55 PM Haoyun XU 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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