Re: Path valuation issue

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/Path-valuation-issue-tp2906p2909.html

On 2004.04.13 19:20, Ferdinando Ametrano wrote:
> I was already looking forward to your book "Designing and  
> implementing financial instruments in C++" and I'm pleased QuantLib  
> is under your radar.

Rats. I was hoping it was ON your radar :)

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

Absolutely. The current FDM code is a kind of legacy from a time when  
we were younger and more naif (not that we're not young and naif now,  
but we were even more so :) and will have to be refactored in the  
future to match more recent parts of the library. We'll try and put the  
discussion on the mailing list.

Later,
        Luigi