Re: [Quantlib-users] [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

[Marcin P. <paw...@gm...>]

On 26 November 2010 17:38, Andreas Spengler <an...@sp...> wrote:

> StochasticProcessArray demands the usage of a
> (Generalized)BlackScholesProcess-derived class?
>
> I would like to use a GeometricBrownianMotionProcess to model the
> underlying indices...

Perhaps you could feed GenBSProc with the following:
 - flat interest rates curve with a rate that suits you (mu + 0.5*sigma^2)
 - flat dividend yield curve with a rate equal to 0
 - BlackConstantVol initiated with your sigma

M.