Hi,
I'm still trying to figure out how to implement a generic multi time, multi asset equity product.
It should be a generic product on many assets, with many fixings, that potentially pays coupons on
many dates.
I'm struggling with the interface of Options and Payoffs:
1) what is the role of Option and Payoff. It looks to me that the payoff is the mathematical
formula, while the option knows about the fixing/expiry date too. To stay in the framework I think
I'm going to add this function to my new "option"
virtual const std:vector<Date> & dates() = 0;
but then I have to make sure the the payoff (i.e. the formula) is in sync with the option.
So I might add this function to "payoff" instead.
2) In MultiAssetOption (which I would like very much to use), why delta, gamma, vega and dividendRho
are "Real"? Shouldn't they be Array (or Matrix for gamma)? What do they mean?
The only class inheriting from MultiAssetOption is BasketOption, but I can't find where the greeks
are computed.
Is there anybody who could give me a hint?
Andrea
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