Re: [Quantlib-dev] Pointer Casting

[Luigi B. <lui...@gm...>]

On Tue, 2010-08-31 at 17:47 +0530, animesh saxena wrote:
> I located the error in the code. I think this is probably due to
> design.
> Generally people would like to price options using different
> processes. For example Himalayan Option is priced using BlackScholes
> process in the example. When I change it to another process like
> Merton76Process (which also is Stochastic1D - as per the guidelines),
> I should be able to price it.

Yes, in principle. But while the path generation does work with a
generic process, the McHimalaya path pricer calls a method from the 
BlackScholes interface, namely, riskFreeRate().  The method is not in
the Stochastic1D interface, so we need to cast.

> The cast is throwing the error.

It should.

>  If I change it to "STATIC CAST", the error is gone!
>         boost::shared_ptr<GeneralizedBlackScholesProcess> process =
> 
> boost::static_pointer_cast<GeneralizedBlackScholesProcess>(
> 
> processes_->process(0));

Honestly, I have no idea why this works. The process you're passing is
not a GeneralizedBlackScholesProcess, so the cast you're forcing should
not succeed.  It might just so happen that the bits align right, but
that's not guaranteed to be portable.

As for a better solution, I'm not sure I have it.  It could be that
instead of an array of Black-Scholes processes, the Himalaya engine
takes a generic process and a discount curve (so it doesn't have to
retrieve the risk-free curve.)

Luigi


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