Login  Register

RE: option pricing in quantlib [Mail virus free]

Posted by Gilbert Peffer on Jul 06, 2001; 6:47pm
URL: http://quantlib.414.s1.nabble.com/RE-option-pricing-in-quantlib-Mail-virus-free-tp1724p1725.html

Follow up on Pricing:

At the moment I am experimenting around with the finite difference and
pricing stuff. One concept to think about is that of the Payoff. Perhaps it
makes sense to explicitly have an class that implements a payoff, which can
then be used by a pricer (which implements a model) to do the calculation.
The concept of Payoff would be the same for finite differences, Monte Carlo,
and trees, though the implementation differs for each methodology. What do
you think about this?
Ciao, Gilbert



>
>Good question. I think there is a related question about the relationship
>between Assets, Pricing, and Models. Pricers use Models to value
>Assets. The
>pricing of one Asset might require collecting quantities that one doesn't
>need for other Assets. This should be the task of the pricer. It
>can do this
>using different Models it has access to. I am not sure how this is
>implemented at this stage since I just started looking at the code.
>
>>+ Should we have a parallel hierarchy for pricers depending on
>>   more than one asset?
>>
>>         have a nice day,
>>                         Marco
>>
>>At 03:34 PM 7/4/01 +0200, you wrote:
>>>Hi everybody,
>>>Is it correct that the BSMOption class implements the Black
>>Scholes model (r
>>>and vol constant)?
>>>Gilbert
>>>
>>>
>>>_______________________________________________
>>>Quantlib-users mailing list
>>>[hidden email]
>>>http://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>
>
>_______________________________________________
>Quantlib-users mailing list
>[hidden email]
>http://lists.sourceforge.net/lists/listinfo/quantlib-users
>