Posted by
Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/BSMTermOperator-tp3571p3573.html
Thanks.
I took that version and make some changes. The main one is that I added
some code so that the operator does its calculations in log price space
rather than price space so that the operator looks more like the simple
BSM operator.
I've uploaded the changes and some test code to put into the test
suite. The test code just checks for consistency with the old BSM operator.
Next week, I'll start modifying the FD routines to use the new
operator. That will give the finite difference algorithms the ability
to handle time-dependent rates and volatilities.
Questions:
* thoughts on using the boost test library message code to do tracing?
* any idea what the inheritance structure for the convertible bond
instrument should be?
* anyone have test data to test options with time dependent rates?
Luigi Ballabio wrote:
>
> 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.
>
>