Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Asian-arithmetic-average-strike-option-tp7965p7970.html
It might be done, but it's not easy. How about inheriting from
BlackScholesProcess instead and overriding the drift() method so that
it doesn't take volatility into account? That would be easy enough to
implement.
Luigi
On Sun, Jun 3, 2012 at 10:40 PM, Paul Carter <
[hidden email]> wrote:
> However, as BlackScholesMertonProcess (and indeed any other Black-Scholes
> type process defined by QuantLib) picks up the volatility in its drift term,
> I am now trying to cancel out the volatility as I would like to have no
> drift at all. This requires me to define a yield term structure, which seems
> rather less straightforward. Do you maybe know of a good, hands-on example
> showing how I can define myself a suitable (dividend) yield term structure
> (eg some code in the testsuite)?
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