Re: Will SingleAssetOption hierarchy disappear?

Posted by Luigi Ballabio-2 on Mar 31, 2003; 12:34am
URL: http://quantlib.414.s1.nabble.com/Will-SingleAssetOption-hierarchy-disappear-tp2440p2442.html

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