Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/Finite-Difference-Pricing-Engine-tp2533p2536.html
Hi Luigi,
Thank you for this answer.
I also did the Barone Adesi Whaley approximation for continous dividend.
I did all the developpement in my Quantlib 0.3.0.
Do not hesitate to ask me the code if it has an interest for Quantlib group
once the switch will be completed.
When I said 10 hours I was thinking of my old Quantlib 0.3.0 not the new
framework, for example to add an approximation for greeks (I don't know if
it exists but we can search) or to find what to do with american put with
discrete dividend.
I wouldn't say that switching to the new framework take less than 10 hours,
my proposal is obviously not good if Neil wants to work on this switch,
this is more a technical question than a financial one and I don't have any
good idea to propose on this subject.
Bye
Xavier
Luigi Ballabio
<
[hidden email]> To:
[hidden email], Neil P Firth <
[hidden email]>
Sent by: cc:
[hidden email]
[hidden email] Subject: Re: [Quantlib-users] Finite Difference Pricing Engine
eforge.net
20/05/2003 14:49
At 02:17 PM 5/20/03 +0200,
[hidden email] wrote:
>the finite difference pricers is quite slow if you need an intensive
>pricing tool.
>That's why I developped an analytical approximation to american options
>with discrete and continous dividends.
>For example, I've added the Roll, Geske, Whaley method to price American
>Call with discrete dividends like it is discribed in Hull 4th P271.
>
>It's quite simple as it changes only few files.
>I already proposed to Quantlib user group to share the code but it looks
>like it didn't received a lot of interest.
Xavier,
my fault. I fell into the "better is enemy of good" trap. Namely,
I though "Ok, I'll integrate Xavier's pricer in the library when we switch
finite differences to the new framework---no need to do it twice." But of
course the switch is taking longer than expected, and your code is waiting
in limbo. I should have known better...
>If it's something that's look interesting you could start with my code and
>improve it with greeks for example, it shouldn't take more than 10 hours.
Yes, I second that. Switching the existing pricers to the new framework
doesn't exactly strike me as an introductory project, or a 10-hours one.
At least, I know it would take _me_ more than 10 hours, and I know the
library.
Bye,
Luigi
P.S. Oh, and yes, I'll try and add Xavier's code to the library this
time...
-------------------------------------------------------
This SF.net email is sponsored by: ObjectStore.
If flattening out C++ or Java code to make your application fit in a
relational database is painful, don't do it! Check out ObjectStore.
Now part of Progress Software.
http://www.objectstore.net/sourceforge_______________________________________________
Quantlib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users*************************************************************************
Ce message et toutes les pieces jointes (ci-apres le "message") sont
confidentiels et etablis a l'intention exclusive de ses destinataires.
Toute utilisation ou diffusion non autorisee est interdite.
Tout message electronique est susceptible d'alteration.
La Fimat et ses filiales declinent toute responsabilite au
titre de ce message s'il a ete altere, deforme ou falsifie.
********
This message and any attachments (the "message") are confidential and
intended solely for the addressees.
Any unauthorised use or dissemination is prohibited.
E-mails are susceptible to alteration.
Neither Fimat nor any of its subsidiaries or affiliates shall
be liable for the message if altered, changed or falsified.
*************************************************************************