Will SingleAssetOption hierarchy disappear?

[Niels Elken Sønderby]

Hi all!

As part of my master thesis I am planning to extend QuantLib with a pricer
for options under stochastic volatility and jumps.

Until now I've work on adding it under the SingleAssetOption hierarchy, but
from reading QuEP 5 (http://quantlib.org/quep/quep005.html) it seems that
the correct way would rather be to add a pricing engine in the
OptionPricingEngine hierarchy.

What is the decision about QuEP 5? Can I conclude that SingleAssetOption
will be deprecated sometime in the future, and that adding the price
calculation code as an OptionPricingEngine would be The Right Thing to do?

Thank you for making your great toolkit open source!

Best regards... Niels

--
http://www.nielses.dk

[Marco Marchioro-2]

Hi,
that's great!
An equity models with stochastic volatility and jumps is exactly what
QuantLib needs to be more appealable. I'm sure plenty of people are
interested in this kind of extensions.

Anyway the answer to your question is yes. The SingleAssetOption
hierarchy will disappear. We've already converted most classes into the
new Instrument/Pricer Engine framework. Definetly new classes should have
their engine and adding the price calculation code as an OptionPricingEngine
is "The Right Thing to do."

cheers,
         Marco.




At 04:02 PM 3/30/03 +0200, Niels Elken Sønderby wrote:

>Hi all!
>
>As part of my master thesis I am planning to extend QuantLib with a pricer
>for options under stochastic volatility and jumps.
>
>Until now I've work on adding it under the SingleAssetOption hierarchy, but
>from reading QuEP 5 (http://quantlib.org/quep/quep005.html) it seems that
>the correct way would rather be to add a pricing engine in the
>OptionPricingEngine hierarchy.
>
>What is the decision about QuEP 5? Can I conclude that SingleAssetOption
>will be deprecated sometime in the future, and that adding the price
>calculation code as an OptionPricingEngine would be The Right Thing to do?
>
>Thank you for making your great toolkit open source!
>
>Best regards... Niels
>
>--
>http://www.nielses.dk
>
>
>
>
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[Luigi Ballabio-2]

At 09:48 AM 3/31/03 +0100, Marco Marchioro wrote:
>At 04:02 PM 3/30/03 +0200, Niels Elken Sønderby wrote:
>>As part of my master thesis I am planning to extend QuantLib with a pricer
>>for options under stochastic volatility and jumps.
>
>Hi, that's great!

Absolutely.

>Anyway the answer to your question is yes. The SingleAssetOption
>hierarchy will disappear. We've already converted most classes into the
>new Instrument/Pricer Engine framework. Definetly new classes should have
>their engine and adding the price calculation code as an OptionPricingEngine
>is "The Right Thing to do."

However, I'm aware that the new framework is not as well documented as it
should be, nor there is any large example of using it in 0.3.1. Things
should change in next release, but in the meantime, you're welcome to write
to this list for discussing any implementation problems you might have.

Good luck,
                 Luigi