Re: [Quantlib-dev] Re: Some questions

[Ferdinando A. <fer...@am...>]

Hi Sad

>Remember the changes to the instrument and pricing engine stuff we talked
>about a few weeks ago? Well, I finally have some time now to implement them
>so I just want to make sure that nobody else has started doing the job.
I am the only one working on them. Unfortunately I haven't had free time in 
the last 3 weeks. I revised the european engine, and added generic 
quanto/forward engine.
High priorities in my task list are (almost in order):
- create 2 different vol term structure classes: Black vol and Local vol, 
the former simply being the market quoted vol (prices) surface, while the 
latter should be the local vol used for the underlying stochastic process. 
The latter is the one to be used by the pricing engines
- substitute doubles with term structures in engine's parameters where 
appropriate, so to allow for time dependent parameters (e.g. time varying 
vols and yields for asian options)
- use your Exercise class in the engines
- write a forward quanto engine combining the existing forward and quanto 
engines
- write the Finite Difference engine for european/american option
- write the Monte Carlo engine for european options
- move as many Pricers as possible from the old Pricer framework to the 
engine framework
- release QuantLib 0.4

I would be glad if you join me on these tasks. Please don't consider my 
late reply as a sign of disinterest. BTW since my feedback time is getting 
higher consider also working on your own branch if this allow you to write 
faster without having to worry about my timely feedback

ciao -- Nando