[Quantlib-dev] Re: [Quantlib-users] isTimeDependent ???

[Joseph W. <jo...@co...>]

I think this depends on user requirements.  There is a trade-off between 
keeping track of these things so that the library figures out these 
things and letting the user use the library in ways that aren't 
mathematically correct but gets you a quick and dirty answer.

For example, one thing that bothers me is that we have an american 
engine and a european engine.  It would seem to me that you'd define 
american and european in the instrument and then have the pricing 
engines figure out how to price them.  Where this would break is if you 
have a situation in which you have an american option and for whatever 
reason want to use a european pricing engine against it.

Where this bothered me was if you use the analytic pricing engines 
against instruments with changing interest rates, you will get the wrong 
answer.  The idea behind having an isTimeDependent flag is to at least 
warn the user that they are going to get the wrong answer.  On the other 
hand, if it is common practice to use engines in a way that doesn't give 
you the exact answer, then maybe this would cause more problems than it 
is worth.


Daniel J. Duffy wrote:

> Bridge pattern?
>  
>
> ------------------------------------------------------------------------
> *From:* qua...@li... on behalf of Joseph 
> Wang
> *Sent:* Fri 30/09/2005 16:18
> *To:* qua...@li...; 
> qua...@li...
> *Subject:* [Quantlib-users] isTimeDependent ???
>
> What do people think about adding an "isTimeDependent()" method to
> things like TermStructure?  This would be defaulted to "true" as a
> virtual function which subclasses could then set to false.
>
> The reason for this is that then the pricing engines could really make
> use of this information to decide whether or not to optimize a
> calculation.  For finite difference methods this could be a huge time
> saver, and simplify the code considerably.
>
> The way that it would work is that the finite difference engine would
> find out whether the calcuation matrix is time dependent or not, the
> calculation matrix would find out from the process, the process would
> find out from the interest and volatility term structures.
>
> Thoughts?
>
>
>
>
>
>
>
>
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