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

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

On Nov 27, 2010, at 8:39 PM, Andreas Spengler wrote:
> I can adapt the MCHimalayaEngine to get the riskFreeRate from  
> somewhere
> else, but my original question was, whether there is anywhere deep in
> the MC code that also demands the StochasticProcess derived class to
> actually be a (Generalized)BlackScholesProcess...

No, no deep reason as far as I know.  I'd change the constructor to  
take a generic process and a handle to a discount curve, and use the  
first for path generator ad the second for discounting the payoff.   
I'd be grateful if you contributed the resulting code.

Luigi