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

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

On 10/01/2005 05:23:13 PM, Joseph Wang wrote:
> I think this depends on user requirements.  There is a trade-off =20
> between keeping track of these things so that the library figures out =20
> these things and letting the user use the library in ways that aren't =20
> mathematically correct but gets you a quick and dirty answer.
>=20
> Where this bothered me was if you use the analytic pricing engines =20
> against instruments with changing interest rates, you will get the =20
> wrong answer.

Not necessarily---for an European option, simply using the zero-yield =20
to maturity gives you the right price, not an approximation (the actual =20
shape of the yield term structure doesn't matter, only its integral.)

The principle I would stick to is that users know better. I'm afraid =20
that trying to have the library do what it thinks the Right Thing might =20
prevent users to do what they know to be the right thing.

Later,
	Luigi


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Hanlon's Razor:
         Never attribute to malice that which is adequately explained
         by stupidity.