Re: Multi-asset options

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Multi-asset-options-tp2771p2775.html

Hi all

it seems like we all agree. Sorry if my first reply was not clear enough.

The idea is that as long as I can calculate the payoff:

    double value = payoff(f(...));

the current Payoff classes are ok.

The f function could be max, min, average, whatever, with as many arguments
you need.

ciao -- Nando