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Hi,
I seem to need a method to set underlying on a SingleAssetOption.
Unfortunately, there is no such method (a complete list of available
modifiers is given below)
// modifiers
virtual void setVolatility(double newVolatility) ;
virtual void setRiskFreeRate(Rate newRate) ;
virtual void setDividendYield(Rate newDividendYield) ;
In this respect I have a couple of questions:
1. What was the criteria for deciding which set methods should be
implemented?
2. Why the methods are virtual? I looked at the default implementation of
setVolatility() and found it more than adequate.
void SingleAssetOption::setVolatility(double volatility) {
// ... some code is striped ...
volatility_ = volatility;
hasBeenCalculated_ = false;
}
I noticed that EuropeanOption overloads setVolatility(), but this doesn't
make sense to me; hasBeenCalculated_ = false should be good enough to
invalidate the cache. Am I missing anything?
void EuropeanOption::setVolatility(double newVolatility) {
SingleAssetOption::setVolatility(newVolatility);
D1_ = D2_ = alpha_ = beta_ = NID1_ = Null<double>();
standardDeviation_ = Null<double>();
}
Thanks, Vadim
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