Re: Question about Finite Differencing engine

Posted by Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/Question-about-Finite-Differencing-engine-tp3562p3570.html

Ferdinando Ametrano wrote:

> 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.
>

Great!!!  I'll start trying to "wrapper" some of the simpler option
engines.  It looks pretty straightforward.  So straightfoward that I was
worried that I was missing some deep architectural reason why it had not
been done before
:-) :-)

>
> 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.)
>
Sure.....

>>   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."

One of the nice things about "porting" the fd pricers into the pricing
engine framework is that it adds a layer of decoupling between the fd
engine and the user API.......

I'll try to get something out in the next week or two.