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

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

Maybe the way to have both "smart libaries" and "smart users" is to have 
a singleton factory class which takes an instrument and then set it with 
the best guess pricing engine.

For example

PricingEngineHelper::setToFiniteDifference(instrument)
setToBinomialTree
setToMonteCarlo



Luigi Ballabio wrote:

>
> On 10/01/2005 05:23:13 PM, Joseph Wang wrote:
>
>> 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.
>>
>> Where this bothered me was if you use the analytic pricing engines  
>> against instruments with changing interest rates, you will get the  
>> wrong answer.
>
>
> Not necessarily---for an European option, simply using the zero-yield  
> to maturity gives you the right price, not an approximation (the 
> actual  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  
> that trying to have the library do what it thinks the Right Thing 
> might  prevent users to do what they know to be the right thing.
>
> Later,
>     Luigi
>
>
> ----------------------------------------
>
> Hanlon's Razor:
>         Never attribute to malice that which is adequately explained
>         by stupidity.