Comments (5)
We already have a few non-autonomous processes (Ho-Lee, Hull-White, etc) in a similar fashion however without defining a new type.
I like your idea of implementing From.
But I assume you mean generalising every process' parameters to be possibly time-dependent ?
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Correct!
from rustquant.
I like the idea, the only possible issue I have is that I was planning on moving the stochastic process parameter structs to a new module models
since they can be quite general and used both for the stochastic process generators and also for pricing bonds, for example. I would also do the same with BlackScholesMerton
in the options
module.
But if we can somehow maintain the ability to impl
various traits on a parameter struct but also include time dependent parameters that would be very nice.
Do you have any ideas?
If you wish to implement it regardless as it is useful, go ahead of course, the idea is great. And I can always adjust later if I figure a way to do both.
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Let me take a look. If we use good impl
I think we will be okay.
Let me ship this as well and I can collab with you on genralizing to models
from rustquant.
Perfect, I love the idea, thanks a lot.
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