On Thu, 2009-04-09 at 23:45 +0200, Michael Heckl wrote:
> I solved this problem by building up an Enhanced Black Scholes Process
> which takes as parameters a stress level and a square of the local
> Volatility Surface which it stresses on demand. I thought maybe anyone
> is interested in my solution? I already tested it and it works fine.
> The solution itself is quite easy and I am working with it so far
> without any problems. I would like to contribute it and maybe we can
> together improve it and enhance Quantlib?
>
> Since this is my first experience with Quantlib Mailing Lists I am not
> quite sure if I can attach my cpp files? Can anybody give me some
> advice?
Sorry for the delay---yes, you can post them here or in the Sourceforge
patch manager.
Luigi
--
Just remember what ol' Jack Burton does when the earth quakes, the
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah,
Jack Burton just looks that big old storm right in the eye and says,
"Give me your best shot. I can take it."
-- Jack Burton, "Big trouble in Little China"
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