[Quantlib-dev] Open Discussion

[animesh s. <ani...@gm...>]

  Thanks for your inputs.
I observed a pattern in some exotic options. Correct me if I am wrong.
Similar to himalayan option, in variance swap engine also we have the 
following code
MCVarianceSwapEngine(
              const boost::shared_ptr<GeneralizedBlackScholesProcess>& 
process

Since most of the engines are specifically using 
GeneralizedBlackScholesProcess it's impossible to value the option using 
any other process. Practically a person would like to value the 
instrument using any possible process. After struggling with 
Merton76Process for valuing Himalayan option I tried to get my head 
around with HestonProcess. It wasn't even remotely possible. Yes I could 
do the same in excel, but again excel can't do 9Million simulations 
which Quantlib can do in seconds :). That's why I am trying to replace 
my excel side of modeling with C++ QuantLib!

So what I want to try is "make the above dependency more generic". It 
should be possible in some way. Any inputs from you guys will help a lot.

Thanks again,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: (+91)9920098221




On 9/1/10 5:09 PM, Kakhkhor Abdijalilov wrote:
> static_pointer_cast on smart pointer will perform static_cast on the
> contained pointer. static_cast will never fail at compiler time
> (unless you try to cast away qualifiers such as const or volatile).
> But if the conversion is illegal, the code will fail at runtime.
> dynamic_cast will check at compile time if the pointer is being
> downcast. If target is not inherited from the source, dynamic_cast
> will refuse to compile.
>
> static_cast cast is faster then dynamic_cast, but inherently unsafe.
> In the above example it is used not in performance critical place.
>
> Hope it help.
>
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