Re: Bates process

Posted by Klaus Spanderen-2 on Feb 26, 2008; 12:41am
URL: http://quantlib.414.s1.nabble.com/Bates-process-tp5618p5621.html

Hi

yes, I'm going to define the Normal distribution as a part of the process. The
Poisson distribution depends on the evolve parameter "dt". Therefore IMO this
object has to be part of the evolve method.

cheers

On Monday 25 February 2008 11:33:33 you wrote:
> I was wondering if it would not make sense in term of calculation speed to
> move the Normal distribution and Poisson distribution as part of the
> process it self? I know it does not make sense in term of abstraction, but
> having to create the object of each step could be coslty in term of speed.
>
> What are your thougths?
> Cheers
>


--
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: [hidden email] (remove NOSPAM from the address)

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