Re: [Quantlib-users] Merton76Process

[Neil P F. <fi...@ma...>]

Hello,

Lots of interesting financial models, such as variance gamma and normal
inverse gamma, are pure jump models, so any redesign should take them into
consideration. Bringing in a LevyProcess class, with drift, diffusion and
jump methods might tidy things up. However, that is quite a large
change and might cause more problems than it solves.

Neil

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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
  fi...@ma...
  http://www.maths.ox.ac.uk/~firth
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