Basket option eye candy

[Joseph Wang-2]

Some more eye candy illustrating mayavi2 and QuantLib integration.  This is a
vtk plot of three basket option surfaces.  The x and y axes are underlying
values, and the three basket options correspond to min, max, and average
basket options.

The integration between mayavi2 is through the python SWIG interface, and that
works pretty much out of the box.  The thing that I'm working on right now is

1) create some vtk API's to make it easier to create these plots and add
labels and axes
2) figuring out how to superimpose some live data
3) figuring out the trait interfaces.  What I'd really like to get is the
ability to have sliders modify parameters like the volatilities and then have
the surfaces react interactively

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Joseph Wang Ph.D. - [hidden email]  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner





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