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

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

Am 29.11.2010 17:16, schrieb Luigi Ballabio:

> Hmm. I'm not sure I would do that.  For one thing, even when using the
> Black-Scholes model, one might want to use a different curve for the
> discount; asking the process for the risk-free rate would prevent that.
> Furthermore, I'm not sure that a riskFreeRate method belongs to the
> generic StochasticProcess interface.

I second that, however I found another problem with using the
GeometricBrownianMotionProcess as is: it inherits an otherwise empty
time(const Date&) method from StochasticProcess which simply QL_FAILs...