On 02/16/05 08:16:40, Joseph Wang wrote:
> They are in a tar file on the wiki page on pricing engines. It contains
> two enhancements. The first is a system evolver that evolves coupled
> PDE's, the second is that it has the step function price options in
> engine form. Also, I put some of the class information typedefs into a
> traits file.
Thanks. I've downloaded them, and I'll have a look as soon as I can (still
no time, sorry...)
> The next thing on my plate is to multi period options working in the
> pricing engine format. I think what I will do is to refactor the classes
> so that FdVanillaEngine is no longer a subclass of GenericModel and gets
> the arguments it needs via procedure classes rather than via arguments_.
>
> The class structure I'm envisoning is
>
> european engine -> VanillaOption::Engine
> -> FdVanillaEngine
>
> and
>
> multi-period engine -> DividendVanillaOption::Engine
> -> FdVanillaEngine
>
> instead of the current
>
> european engine -> FdVanillaEngine -> VanillaOption::Engine
I was about to suggest you the same thing (using multiple inheritance--it's
not clear to me from the above diagram whether you plan to use MI or
containment.) It's the same thing we did for Monte Carlo engines.
Later,
Luigi
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A programming language is low-level when its programs require attention
to the irrelevant.
-- Alan Perlis
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