Re: BSM process

Posted by Luigi Ballabio on Jul 04, 2005; 6:32am
URL: http://quantlib.414.s1.nabble.com/BSM-process-tp3872p3875.html

On 06/28/2005 06:53:58 AM, Joseph Wang wrote:
>
> Looking over the code, I was wondering if it would be a good idea to
> include an "isConstant" method in the Black Scholes process classes  
> so that the Pricing engines can automatically use that know to lookup  
> the interest rate and dividend yields only once.

I don't think the BS process has a way to determine whether it's  
constant, apart from trying to cast the term structures to constant  
ones---and that will leave out user-defined constant structures. I'd  
rather have an "isConstant" parameter passed to the engine constructor,  
so that the engine will take the zero rates and use them throughout  
(this could also be done for non-constant term structures.)

Later,
        Luigi

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Prediction is very difficult, especially if it's about the future.
-- Niels Bohr