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

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

On 09/30/2005 04:18:51 PM, Joseph Wang wrote:
> What do people think about adding an "isTimeDependent()" method to =20
> things like TermStructure?  This would be defaulted to "true" as a =20
> virtual function which subclasses could then set to false.
>=20
> The reason for this is that then the pricing engines could really =20
> make use of this information to decide whether or not to optimize a =20
> calculation.  For finite difference methods this could be a huge time =20
> saver, and simplify the code considerably.

I would leave that to the user. Namely, I would rather add an =20
isTimeDependent parameter to the engine constructor, defaulting to =20
false. If enabled, the engine would optimize the calculation. It seems =20
to me to have two advantages: 1) it doesn't try to be too smart, which =20
is often more difficult that it's worth; 2) it makes it possible to =20
optimize the calculation even when the term structures are not =20
constant; a user could take a time-dependent term structure, and still =20
decide that for a simple European option he can just use the zero-yield =20
to maturity.

Luigi


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