[Quantlib-dev] MakeMCEuropeanEngine<PseudoRandom>

[<fho...@gm...>]

Hi there!
When I change the value which is passed to .withTimeSteps starting from 1
to, say, 5 in the case of non-flat vol term structure (but flat skew) which
is defined by 5 points on the time scale, the value 1 results in a plain
vanilla call option's value which corresponds to the start vol (all else
being equal). Increasing the number of time steps the option's value seems
to approach the value of the closed form solution where the speed of
convergence depends on the particular shape of the term structure in the
neighborhood of maturity.
 
I would expect, especially in the case of one time step for this plain
vanilla call, the vol to be taken as the terminal vol not the initial one.
Am I wrong?
 
Regards
Frank