Re: Quantlib Benchmark: Monte Carlo methods and Finite Difference

Posted by jean-marc mercier on
URL: http://quantlib.414.s1.nabble.com/Quantlib-Benchmark-Monte-Carlo-methods-and-Finite-Difference-tp6794p6796.html

Dear Luigi.

No you didn't :)

All this work will be reviewed by peers at the end of the month. If there is no contestation, I will release the code, probably current of December on my website.
Note : this work is linked to the wilmot thread http://www.wilmott.com/messageview.cfm?catid=34&threadid=65728

Regards

Jean-Marc

2008/10/27 Luigi Ballabio <[hidden email]>

Jean-Marc,
       sorry---did I ever answer to this email?
Anyway:

On Wed, 2008-09-24 at 18:57 +0200, jean-marc mercier wrote:
> A bad point is that these pricers uses a lot of code and structures
> that are part of some kind of "PDE toolkit" library that I developed,
> and it seems really hard to separate them.
>
> To avoid useless work, would it be possible to release these pricers
> as experimental as a separate project including both libraries ?

Yes, I think that would be best.

Later,
       Luigi


--

An ideal world is left as an exercise to the reader.
-- Paul Graham

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