What do people think about adding an "isTimeDependent()" method
to
things like TermStructure? This would be defaulted to "true" as
a
virtual function which subclasses could then set to false.
The
reason for this is that then the pricing engines could really make
use of
this information to decide whether or not to optimize a
calculation.
For finite difference methods this could be a huge time
saver, and simplify
the code considerably.
The way that it would work is that the finite
difference engine would
find out whether the calcuation matrix is time
dependent or not, the
calculation matrix would find out from the process, the
process would
find out from the interest and volatility term
structures.
Thoughts?
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