> >At the moment I am experimenting around with the finite difference and
> >pricing stuff. One concept to think about is that of the Payoff. Perhaps it
> >makes sense to explicitly have an class that implements a payoff, which can
> >then be used by a pricer (which implements a model) to do the calculation.
> >The concept of Payoff would be the same for finite differences, Monte
>Carlo,
> >and trees, though the implementation differs for each methodology. What do
> >you think about this?
>I implemented something similar in some code I wrote for my masters... a
>while back. Obviously works well for MC, and applies to trees.
Would you contribute some code to start from?
A skeleton idea would be enough, even better if anyone has a complete
robust implementation ;-)
ciao -- Nando
Locked
