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

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

On Mon, 2010-11-29 at 20:15 +0100, Andreas Spengler wrote:
> 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...

Right---the date/time conversion.  Hmm.  For the time being, you might
have the process take a DayCounter and a referenceDate, and implement
time() in terms of those.

Sigh.  We'll have to rethink this stuff one day...

Luigi


-- 

Better to have an approximate answer to the right question than a 
precise answer to the wrong question. 
-- John Tukey as quoted by John Chambers