October 28th, 2011, 1:44 pm
QuoteOriginally posted by: outrunI think a practical way forward would be to start on two component1) Cuch's FDM GOF2) A minimalist function lib with some math and exotic pricing routines..and use those as a future blueprints: It would allow us to go from conceptual sketch talk to a more concrete example with much more detail on these subjects.Maybe we should even focus on getting a super simple Black & Scholes model released. It will not cover all aspect yet we will run into, but it would allow us to make notes wile doing it, fill in information gaps, and build that blueprint.Agreed.If we got the design on that sorted, then we can move on and factor in the more exotic/estoric stuff. I wrote something about this on one of the threads. I think a prototype would be a really good idea. Something like a BS model initially and then something like a Swap (purely because of the more complex inputs into terms of yield curves, cashflows etc). A simple 0.1 release kind of thing.