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

[Andreas S. <an...@sp...>]

Hi,

Am 27.11.2010 15:35, schrieb Marcin Pawlik:

> 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

in the meantime I looked at the code. I would propose to pull up the
riskFreeRate member to StochasticProcess and add a corresponding
constructor with an empty default parameter.

One could then check in all necessary situations whether riskFreeRate
contains a valid object...