Re: [Quantlib-dev] GJR-GARCH option pricing engine

[Chris K. <chr...@ya...>]

Hi,

re: 
"
    I can speed it up quite a bit if I can re-use some
intermediate results when some parameters are the
same. But this requires me to introduce some data
members to AnalyticGJRGARCHengine and assign values to
them during calculate(). But calculate() is a const
function, so I can't really do that. What do you think
I should do? 
"

If you need some local data, then declare it mutable (=never const),
this overrides the const in calculate().  Use with care:
http://www.highprogrammer.com/alan/rants/mutable.html
This is done elsewhere in QL.

Regards,
Chris