Error in BasketPathPricer...

[Toyin Akin-3]

Hi,

 

The constructor of this class (BasketPathPricer) does not store the value of the strike thus the option price does not make sense.

 

In addition, what's the possibility of introducing Quanto products.

Thus for example, in the case of the swap products, you could introduce a Payment Ccy and a

TermStructure corresponding to the PaymentCcy. In this case Fwds will be acquired from the initial TermStructure (Fixing curve) and discount factors from the second TermStructure. You will also have to pass in the Fx rate and vol. That's one idea anyway...

 

The more I play with it, the more I like it...

 

Regards,

Toy.

[Ferdinando M. Ametrano-2]

Hi Toyin

>  I've been following the progress of the term structure models, and your
> implementation is one
>of the cleanest I've seen.
Kudos to Sad Rejeb, who did the great work.

>Is it possible to provide some examples that covers the calling of the
>following classes...
>Analyticalcapfloor
>Treecapfloor and
>Treeswaption.
Examples will probably added before we finalize 0.3.0
Isn't it, Sad? ;-)

>  what's the possibility of introducing Quanto products.
>  [...]
>Also, what is the possibility of providing a cashflow leg with short and
>long stubs both at the front and back, rolls on particular days would be
>good too.
>  While I'm on the subject End of month and IMM rolls would be great. CMS
> swaps and Delayed reset swaps would be ideal with options on these...
Nobody I know of is working on these isssues. We need volunteers ;-)

>The constructor of this class (BasketPathPricer) does not store the value
>of the strike thus the option price does not make sense.
>In addition, I could be wrong, but I believe that some of the logic
>pertaining to the
>"if (useAntitheticVariance_)" if statement should be within the for loop.
>(The log_drift and log_diffusion are constants in the current implementation).
You're right. I added this class mainly to replace the old Basket, which is
now called MaxBasket, but I forgot to check it and to add it to our Python
test suite.
You got me with my pants down ....
I've fixed the bugs in the CVS and I'll add a Basket test.

>Reading your code is a joy and a great learning experience of how things
>should be done...
>[...] The more I play with it, the more I like it...
thank you for your feedback. Responsive users are a great treasure for any
open-source project

ciao -- Nando