Re: Help on Multi Asset Options

Posted by andrea-110 on
URL: http://quantlib.414.s1.nabble.com/Help-on-Multi-Asset-Options-tp11751p11755.html

Luigi Ballabio wrote:

>> 2) the mc engine should generate a matrix of that many underlyings on
>> those dates (removing the extra timesteps simulated only for a
>> discretization schemes) and pass it to the product.
>
> Yes. For this, you can use the MultiPathGenerator class. Given the
> dates and the dynamics of the underlyings, it will generate a MultiPath
> instance containing the underlying values. However, you shouldn't pass
> it to the product, but rather to an instance of a class derived from
> PathPricer (which the product will instantiate.)
>
>> 3) the product should then return how much it pays on some final date.
>
> True, with 'product' replaced by 'path pricer'.

Hi,

I've just seen only now this email you sent a while ago.

I am not sure what you mean.

The PathPricer receives the MultiPath, extract the values of the assets on the times requested by
the product (the time grind having potentially more dates than the product needs) into some sort of
matrix and passes it to the product.
The product return (for the time being) one single number, and the PathPricer takes care of
discounting it.

I want to write only one instance of the PathPricer and many Products/Payoffs.

Is it correct?

Andrea

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