BSMTermOperator

Posted by Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/BSMTermOperator-tp3571.html

I've upload onto the wiki

http://wiki.quantlib.org/twiki/bin/view/Quantlib/FiniteDifferencePricingEngines

a first pass at an operator called BSMTermOperator.  It takes an
arbitrary grid and black scholes process and
generates a differential operator for it.  The good thing is that it
takes into account volatilities smiles and time
dependent yields.  The bad news is that it is probably going to be a lot
more computationally intensive.

Something that occurs to me is that you can easily generate these
operators from a process.  So one could
make a black scholes process called SimpleBlackScholesProcess that
generates a "fast operator" with a lot
of the mathematical simplifications in place, while another black
scholes process can generate a fully
general operator object.