Re: BSMTermOperator

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/BSMTermOperator-tp3571p3574.html

At 08.43 05/02/2005, Joseph Wang wrote:
>* anyone have test data to test options with time dependent rates?

I don't have exactly what you are looking for, anyway please consider
testing the FD engine with time dependent parameters against the analytic
(constant parameters) engine for European options. They should give the
same price since Europeans are sensitive only to the terminal rate/variance.

ciao -- Nando