Re: Multi-asset options

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Multi-asset-options-tp2771p2772.html

Hi Neil

>I'm looking at coding up some multi-asset options [...]
>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 long as the payoff is calculated comparing a double against the (double)
strike the current interface could work for multi-asset options too.
I agree that the label "price" for the double to be compared against the
strike is inappropriate, as it could be the min/max between multiple
prices, the average of different prices, etc.

Please let me know if I'm missing something

ciao -- Nando