This page is devoted to porting the old pricers to use finite difference pricing engines. See Main.JosephWang for more information.

The steps for the port are

• First create an adapter between the PricingEngine^? system and the old Pricer
• modify the European option pricer to use yieldtermstructures and volatilities
• port the other pricers....

Should be done by the end of February.

March will be devoted to creating coupled operators.

April will be devoted to finally implementing convertible bonds.

---

Uploaded system evolver. System evolver is basically a "multiplexer" that allows for several PDE's to be solved simultanously. The first use of these will be to calculate control variates in the american options.