Multi-asset options

Posted by Neil P Firth on
URL: http://quantlib.414.s1.nabble.com/Multi-asset-options-tp2771.html

Hello,

I'm looking at coding up some multi-asset options, so that I can try out
the Least Squares Monte Carlo algorithm in a realistic, multi-asset case.
I am going to start with the basic two asset basket, calls and puts on the
max and min. This just requires the bivariate normal, which is in the
library already.

There are some library design issues, however. The current Option class
seems to be inherently single asset, as it has a Payoff as a data member
and Payoff calculates the value from a (double price). This needs to be
more general to deal with, say, a vector of prices. As this would no doubt
involve some major changes I thought it best to get a discussion going
before changing anything!

Any suggestions?

Neil

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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
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  http://www.maths.ox.ac.uk/~firth
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