RE: Path valuation issue

Posted by Ferdinando Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Path-valuation-issue-tp2906p2908.html

Hi Daniel

>I am working on path-dependent options from the viewpoint of PDE/FDM. This
>offers a number of advantages such as:
>
>     Performance (much faster than MC)
>     Well-developed theory (people have being using FDM for 200 years)
>     Easy to program in C++
>
>If I can be of help to the Quantlib you know where to find me.

I was already looking forward to your book "Designing and implementing
financial instruments in C++" and I'm pleased QuantLib is under your radar.
Does the book include a CDROM with C++ code? If this is the case under
which license you release the code?

I've taken a look at your "<http://www.datasim.nl/downloads/single.zip>C++
Singleton Pattern implementation using smart pointers" but unfortunately
the code has just the copyright with no license agreement.
I hope you would adopt a BSD-like license as P. Jackel did and M. Joshi
will do: this is required for the adoption of the code in QuantLib.

Anyway I would be pleased to have you reviewing and helping the QuantLib
PDE/FDM framework.

ciao -- Nando