SingleAssetOption::setUnderlying needed

[Vadim Ogranovich-3]

Sorry, my previous message had a wrong subject line. Please disregard. Here
is a correct one. Thanks, Vadim

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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[Rod Pienaar]

Vadim

<Vadim Wrote>I seem to need a method to set underlying on a SingleAssetOption.
Unfortunately, there is no such method.
I had exactly the same thoughts.  I get around this by constructing a new option with new attribute values each time they change.  Its not the most efficient way of doing things and additional get/set methods would be useful.

<Vadim Wrote>Why the methods are virtual? I looked at the default implementation of
setVolatility() and found it more than adequate.
The method may be adequate but what if a developer wants to provide a sub-class of single asset option and also provide his own implementation?  If the method were not declared virtual he might get some unexpected behaviour when in fact he wanted it to behave polymorphically.  The class is just future proofing itself.


Regs
Rod




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[Luigi Ballabio-4]

At 09:42 AM 4/24/02 +0100, Rod Pienaar wrote:
><Vadim Wrote>I seem to need a method to set underlying on a SingleAssetOption.
>Unfortunately, there is no such method.
>I had exactly the same thoughts.  I get around this by constructing a new
>option with new attribute values each time they change.  Its not the most
>efficient way of doing things and additional get/set methods would be useful.

I know. The sad story is, I didn't looked that hard at SingleAssetOption
since it would be superseded by QuEP 5 (in the new framework, you would
pass the underlying as a market element. The option would register as an
observer and react to changes in the market element value.) Then, I haven't
had time to go ahead and implement QuEP 5...
In the meantime, feel free to add a setUnderlying to SingleAssetOption if
you need it. The reason it's not there is just that we hadn't needed it yet.

Bye,
         Luigi