Re: Open Discussion

Posted by animesh on
URL: http://quantlib.414.s1.nabble.com/Pointer-Casting-tp8953p8961.html

Thanks a lot. Just one minor thing I noticed in blackscholesprocess.hpp

            dS(t, S) = (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt
                     + \sigma dW_t.

The above process is not possible, coz you can't have sigma(t,S). The above equation is derived only because sigma is constant. It's a bit misleading, Can I make the change to the correct version

            dS(t, S) = (r(t) - q(t) - \frac{\sigma^2}{2}) dt
                     + \sigma dW_t

It's a one line change, In the last few lines of my blog I have given the proof.

http://quantanalysis.wordpress.com/2010/08/21/

Just read the ending portion.




On 9/2/10 4:37 PM, Kakhkhor Abdijalilov wrote:

Forwarding...

 Thanks for your inputs.
I observed a pattern in some exotic options. Correct me if I am wrong.
Similar to himalayan option, in variance swap engine also we have the
following code
MCVarianceSwapEngine(
            const boost::shared_ptr<GeneralizedBlackScholesProcess>& process

Since most of the engines are specifically using
GeneralizedBlackScholesProcess it's impossible to value the option using any
other process. Practically a person would like to value the instrument using
any possible process. After struggling with Merton76Process for valuing
Himalayan option I tried to get my head around with HestonProcess. It wasn't
even remotely possible. Yes I could do the same in excel, but again excel
can't do 9Million simulations which Quantlib can do in seconds :). That's
why I am trying to replace my excel side of modeling with C++ QuantLib!

So what I want to try is "make the above dependency more generic". It should
be possible in some way. Any inputs from you guys will help a lot.

Thanks again,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: ([phone]

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