Hi Joe,
On Sat, 2007-02-24 at 14:42 -0600, Joseph Wang wrote:
> Just wanted to bounce this idea off people.
>
> Right now we have
>
> QuantoVanillaOption
> QuantoForwardVanillaOption
> ForwardVanillaOption
>
> If you add in options on divdend paying stocks that's another level of
> complication.
>
> I was wondering if it would be a good idea to create the classes
>
> QuantoInstrument
> ForwardInstrument
>
> And then use multiple inheritance to compose the option classes.
>
> Alternatively we can use decorator templates in the same way that the engines
> work.
>
> Quanto<VanillaOption>
>
> Thoughts?
We tried that---the idea is surely interesting---but for some reason it
didn't seem to work. I don't remember what was the problem though. Why
don't you try prototyping it?
Later,
Luigi
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There's no sense in being precise when you don't even know what you're
talking about.
-- John von Neumann
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