Re: [Quantlib-dev] Road to 1.0

[Max <ma...@gm...>]

Hi Luigi and the rest,

Thanks a lot for showing us such a clear picture about future 1.0 release!

I just have one addition:
- modify the interfaces of finite difference pricing engines (like
FDEuropeanEngine class) so that users can specifiy different solver
(Explicit, Implicit or Crank-Nicolson) and different asset price
range. Currently the solver is fixed to Crank-Nicolson.

Does this change make sense to you? and any advice?

Cheers,
Max

On Feb 16, 2008 12:07 AM, Luigi Ballabio <lui...@gm...> wrote:
>
> 4) list of breaking changes:
> The ones that I would make are:
>
> - engine refactoring for a few instruments (asset swap, variance swap,
> inflation swaps...)  The idea is to put market data in the engine, as we
> did for swaps and bonds.
>
> - decrease the number of template parameters in IterativeBootstrap, from
> <Curve,Traits,Interpolator> to just <Curve>. The other parameters can be
> retrieved from the curve as typedefs. It increases a bit the
> readability, and shouldn't break much code (I doubt that many people
> wrote their own curve based on it yet.)
>
> - clearer instantiation of a few Monte Carlo engines, by replacing
> withTolerance() with both withRelativeTolerance() and
> withAbsoluteTolerance(). The ambiguity has bitten us already in the
> past.
>
> - finally, if I can make a request (most likely, I won't be doing this
> one myself): would it be possible to have a look at the SwaptionVolCube1
> and SwaptionVolCube2 classes and see whether they can be merged? At
> least, they should be given names that describe their differences.