François Cocquemas

Ha, don't know if I'm an experienced contributor, but my C++ skills have gotten a little better since last time! I think the main reason is to cope with discrete...

I’ve pushed changes for AmericanOption to my cloned repo: https://github.com/fcocquemas/rquantlib/ However, I haven’t submitted a pull request yet. Two main reasons. 1. I noticed `makeOption()` in utils.cpp, which is copied...

Deal! 1. Up to you. I think getting all engines done in one PR could be better? Especially wrt changes to the documentation/interface. I think a generic template for makeOption...

Sounds good to me, too. For the Greeks, with the FD schemes you only get the delta and the gamma. However, with BaroneAdesiWhaley, you get the full set (explicit formulas).

Nice. We can probably borrow some tests from Quantlib. I'm still trying to refactor so that there's not too much duplicated code. One issue I'm having is figuring out how...

Any pointers as to what it would take to make this happen?