Re: Question about Finite Differencing engine

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Question-about-Finite-Differencing-engine-tp3562p3565.html

On 02/02/05 06:57:04, Joseph Wang wrote:
>
> 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.

Rate r = process->riskFreeRate()->zeroRate(time, Continuous);

will do the trick: there's no need of the last ->rate() as a conversion  
operator from InterestRate to Rate is provided.

> 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.

Hmm, I'm not sure. Shouldn't be a matter of initializing the differential  
operator properly?

> 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.

Good plan :)

Later,
        Luigi

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