QuoteOriginally posted by: frenchXYes I know.For the language choice I agree that C++ is the best and I trust you about organizing code (I have read your book "financial engineering" and your wilmott articles about design patterns). A good thing would be (at the final end of your project) to have also a graphic interface to make your code a complete black blox with a nice user interface. I imagine a toolbar in which you can choose the payoff, another one in which you choose the model (SV, local, etc...) and a last one in which you choose the method (MC or PDE). That would be a pricing library.It could be coupled to "calibration" one in which you imput data, you choose your model with the toolbar and go. Moreover it's important to have a bridge between the 2 ones.The motto in my opinion is "Be user friendly".My 2c.Great idea! Excel should be one of the interfaces, in my humble opinion.Dominik
Last edited by semanticum
on October 2nd, 2011, 10:00 pm, edited 1 time in total.