[Quantlib-users] Using YeildTermStructure in GeneralizedBlackScholesProcess

[mkrg23 <mk...@gm...>]

Hi All,

I'm having trouble understanding how to implement the YieldTermStructure
class for the risk free rate to be passed a GeneralizedBlackScholesProcess
object. My goal is to price an option with 30 days to expiration, I am
unclear whether to pass YieldTermStructure  the annualized interest rate
(i.e. 1% on an annual basis) or whether I need to pass it an interest rate
that corresponds to the lifetime of the option. 

When I have done tests to compare option values using this method to other
non-quantlib pricing methods I find that I get more accurate values when I
use an interest rate closer to zero.

If anyone could provide any insight to the YeildTermStructure class and how
to properly construct it with respect to the risk free rate for option
pricing that would be very helpful.


Thank You
Michael 



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