Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

Posted by Marcin Pawlik on Nov 27, 2010; 2:35pm
URL: http://quantlib.414.s1.nabble.com/Black-Scholes-Process-required-in-MCHimalayanEngine-tp6183p6184.html

On 26 November 2010 17:38, Andreas Spengler <[hidden email]> wrote:

> StochasticProcessArray demands the usage of a
> (Generalized)BlackScholesProcess-derived class?
>
> I would like to use a GeometricBrownianMotionProcess to model the
> underlying indices...

Perhaps you could feed GenBSProc with the following:
 - flat interest rates curve with a rate that suits you (mu + 0.5*sigma^2)
 - flat dividend yield curve with a rate equal to 0
 - BlackConstantVol initiated with your sigma

M.

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