Re: Question about Finite Differencing engine

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Question-about-Finite-Differencing-engine-tp3562p3563.html

At 02:11 PM 2/1/2005, Joseph Wang wrote:
>Is anyone working on refactoring the Vanilla options to use the pricing
>engines for finite differencing?

It's been on the todo list forever. Let's get it straight: the refactoring
of Vanilla options should not be needed, it's just matter of adding Finite
Difference engine(s) for Vanilla options.
Even "moving" the existing FD code into the Pricing Engine framework would
be great.

>   I'd rather use the new architectural in order to price convertible
> bonds, and as an exercise to help me understand the code, I can do some
> work to create a finite difference pricing engine.
Oh please, you're welcome!

BTW take a look at the MC engines in order to exploit as mush as possible
for the FD engines (e.g. time discretization, control variate, etc.)

>   The code in finite difference itself seems generic enough so that
> doesn't have to be rewritten.
It could be vastly improved... anyway let's not make "best" enemy of "better."

ciao -- Nando