Hi Yee Man,
On Thu, 2008-03-06 at 17:20 -0800, Yee Man Chan wrote:
> I recently finished my implementation of
> GJR-GARCH(1,1) option pricing model for European
> options using QMC with Brownian Bridge.
>
> I find that you guys don't have this pricing model.
> Do you mind if I implement this for Quantlib?
I'll be happy if you do.
> If so, how should I proceed?
You can send me the files and I'll add them to the repository.
You should code your model as a pricing engine; if you're not yet
familiar with our pricing framework, you can read chapter 2 at
<
http://luigi.ballabio.googlepages.com/qlbook> for an introduction.
Also, it should use the existing facilities for random-number
generation. As an example, you can look at the current MC engine for
European options in <ql/pricingengines/vanilla/mceuropeanengine.hpp>.
Later,
Luigi
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