First draft of a MC Path Dependent Basket Engine

[andrea-110]

Hi,

I've had some time to play with my project of a generic multi asset path dependent MC engine.

Here are the files

1) example
2) payoff
3) option
4) mcengine

A few thoughts:

1) not sure about the existence of BOTH option AND payoff
2) return types are not optimal (still thinking about shared_ptr, references, Disposable ...)
3) TimeGrid: I'm not happy because the MCPathBasketEngine::timeGrid() is called twice: from
MCPathBasketEngine::pathGenerator() and MCPathBasketEngine::pathPricer().

Maybe I wanted to write a new MultiPathGenerator that only returns a MultiPath made of the Mandatory
times of TimeGrid and not all of them.
4) TimeGrid: Can I build a TimeGrid with a maximum time step (e.g. 0.25)? I can specify the total
number of steps, but this is not very intuitive. 10 steps in 10 years is not the same as 10 steps in
1 month.

Feel free to comment on it.

Andrea


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