Intrinsec value of an option - SOLVED

[Lapin]

Hi,

I can not manage to find in the doc the way to grab the intrinsec value of an option.
I am declaring my pointer on the payoff like below

boost::shared_ptr<PlainVanillaPayoff> payoff =
            boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff) ;

and then I would like to get the instrinsec value given different spot (in order to fill my terminal values for a PDE resolution).

Do you know how to do?

Thanks

[Luigi Ballabio]

On Wed, 2007-09-19 at 08:12 -0700, Yomi wrote:
> I can not manage to find in the doc the way to grab the intrinsec value of
> an option.
> I am declaring my pointer on the payoff like below
>
> boost::shared_ptr<PlainVanillaPayoff> payoff = ...
>            
> Do you know how to do?

Real value = (*payoff)(spot);

Later,
        Luigi


--

A child of five would understand this. Send someone to fetch a child of
five.
-- Groucho Marx



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[Lapin]

Luigi,

You are the man.

Thanks a lot.

Luigi Ballabio wrote

On Wed, 2007-09-19 at 08:12 -0700, Yomi wrote:
> I can not manage to find in the doc the way to grab the intrinsec value of
> an option.
> I am declaring my pointer on the payoff like below
>
> boost::shared_ptr<PlainVanillaPayoff> payoff = ...
>            
> Do you know how to do?

Real value = (*payoff)(spot);

Later,
        Luigi


--

A child of five would understand this. Send someone to fetch a child of
five.
-- Groucho Marx



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