Re: Question about Finite Differencing engine

Posted by Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/Question-about-Finite-Differencing-engine-tp3562p3564.html

Yuck....  Ran into the first problem.....

The current Fd interfaces expect numbers for risklessRate and
dividendYields and don't know anything about the YieldTermStructures......

What is the suggested way of getting an input for the finite
differencing routines.

I'm thinking that

process->zeroRate(time, Continuous)->Rate();

would do it.

Also, anything thoughts on the "right way" of doing this.  It seems to
me that in order to get the finite difference model to handle
YieldTermStructures would require some extensive changes in the engine.  
On the bright side, it seems that it only has to get done once.

The strategy that I'm thinking about doing is to put in the 'quick and
dirty' single number rate in and get everything working, and then try to
put in YieldTermStructures.