From: Luigi B. <lui...@gm...> - 2005-09-30 15:33:15
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On 09/30/2005 04:18:51 PM, Joseph Wang wrote: > What do people think about adding an "isTimeDependent()" method to =20 > things like TermStructure? This would be defaulted to "true" as a =20 > virtual function which subclasses could then set to false. >=20 > The reason for this is that then the pricing engines could really =20 > make use of this information to decide whether or not to optimize a =20 > calculation. For finite difference methods this could be a huge time =20 > saver, and simplify the code considerably. I would leave that to the user. Namely, I would rather add an =20 isTimeDependent parameter to the engine constructor, defaulting to =20 false. If enabled, the engine would optimize the calculation. It seems =20 to me to have two advantages: 1) it doesn't try to be too smart, which =20 is often more difficult that it's worth; 2) it makes it possible to =20 optimize the calculation even when the term structures are not =20 constant; a user could take a time-dependent term structure, and still =20 decide that for a simple European option he can just use the zero-yield =20 to maturity. Luigi ---------------------------------------- Newton's Law of Gravitation: What goes up must come down. But don't expect it to come down where you can find it. Murphy's Law applies to Newton's. |