Posted by
Marco Marchioro-2 on
Mar 30, 2003; 11:52pm
URL: http://quantlib.414.s1.nabble.com/Will-SingleAssetOption-hierarchy-disappear-tp2440p2441.html
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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