RE: option pricing in quantlib [Mail virus fre e]

Posted by Kloss, Burkhard on Jul 06, 2001; 7:25pm
URL: http://quantlib.414.s1.nabble.com/RE-option-pricing-in-quantlib-Mail-virus-fre-e-tp1732.html

>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?
I implemented something similar in some code I wrote for my masters... a
while back.  Obviously works well for MC, and applies to trees.