Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/BSMTermOperator-tp3571p3572.html
On 02/04/05 05:58:12, Joseph Wang wrote:
> I've upload onto the wiki
>
>
http://wiki.quantlib.org/twiki/bin/view/Quantlib/FiniteDifferencePricingEngines>
> a first pass at an operator called BSMTermOperator.
Joseph,
that implementation might not have worked (TimeSetter::setTime()
had the wrong signature, and passing your operator to classes expecting a
TridiagonalOperator instance might have sliced it and destroyed the time-
setting logic.) I've uploaded a modified (and untested) version.
You might want to try it out.
> The bad news is that it is probably going to be a lot more
> computationally intensive.
Yes, setTime() will be called at each step during rollback.
> 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.
True, but to keep interfaces slim I wouldn't have the process itself
generate the operator--I'd prefer some function dispatching on the process
type...
Later,
Luigi
----------------------------------------
Barker's Proof:
Proofreading is more effective after publication.