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

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

Am 27.11.2010 22:22, schrieb Luigi Ballabio:

> 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.

Gladly. However, instead of changing the interface for the affected
Engine classes, I would rather, as stated in my other mail, propose to
pull up the riskFreeRate member of GeneralizedBlackScholesProcess to the
StochasticProcess class and add another parameter (empty by default) in
e.g. GeometricBrownianMotionProcess' or StochasticProcessArray's
constructor.

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