Re: isTimeDependent ???

Posted by Ch. Schwartz on Sep 30, 2005; 9:03am
URL: http://quantlib.414.s1.nabble.com/isTimeDependent-tp4060p4068.html

I think the end goal is great, but it would be great if instead of checking booleans, the decision of whether to optimize would be made in an OO-manner somehow.

On 9/30/05, Joseph Wang <[hidden email]> wrote:

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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