quantlib-dev

[Quantlib-dev] legacy McCliquetOption class

[Ferdinando A. <na...@am...>]

Hi all

McCliquetOption

I wrote McCliquetOption 5 years ago and even then I was quite
unsatisfied, since it priced cliquet option using local vol neglecting
the smile dynamic (or even worse using a black model with no smile).

Because of its inappropriate modeling and since it is the last legacy
class inheriting from the obsolete and deprecated McPricer, I suggest
to remove it before 1.0

ciao -- Nando

Re: [Quantlib-dev] legacy McCliquetOption class

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

On Tue, 2009-03-17 at 20:01 +0100, Ferdinando Ametrano wrote:
> McCliquetOption

It's being worked on.  A few students at Nice polytechnique are
migrating it to the new framework as an assignment for a course of
theirs.  The model is not going to change, though---it's going to be a
straight migration to instrument + pricing engine.

Luigi


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