Finite Difference Pricing Engine

Posted by Neil P Firth on
URL: http://quantlib.414.s1.nabble.com/Finite-Difference-Pricing-Engine-tp2533.html

Hello,

I am looking to get started on some Quantlib development and am looking
for a suitable introductory project. I was thinking about porting some
of the Finite Difference Pricers to the Pricing Engine framework. However,
I have quickly ended up in the depths of FdBsmOption.cpp,
and SingleAssetOption. I am planning on using the FiniteDifferences
namespace as it is currently used in the Pricers. I am going to start
with Single Asset equity style options, then going on to Baskets if
things go well. I am not so interested in the IR or stochastic vol models
at the moment.

Any comments or ideas? If this seems a bit complex for a first project
does anyone have a suggestion for a straightforward enhancement that would
take 10 hours coding, say.

Thanks,
Neil

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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
  [hidden email]
  http://www.maths.ox.ac.uk/~firth
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