Re: Question about Finite Differencing engine

Posted by Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/Question-about-Finite-Differencing-engine-tp3562p3566.html

Luigi Ballabio wrote:

>> 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?
>
Yes, but it will require a lot of new changes to pass the
yieldtermstructure and Volatility to the place where it can set the
operator.

By the way, this may be a simple question, but how does one create a
constant yieldtermstructure and constant volatility.  What I'd like to
do is to make changes to the finite difference engine to handle the term
structures and term volatities, and then reimplement the current
constructors to call the new interface with constant interest rates and
volatities.  This will make things backward compatible, so that people's
current code doesn't break (always a good thing).