Posted by
Wujiang Lou on
URL: http://quantlib.414.s1.nabble.com/Multi-asset-options-tp2771p2779.html
What about some other idea like this:
//state is a vector of double
template <int N=1>
class State<N>;
//class D is a date, in years (double), in num of days( int), and your Date
class.
// A path is a function mapping time D to State<N>.
template <class D, int N=1>
class Path;
template<class D, int N>
class Payoff
{
public:
virtual ~Payoff() {}
virtual double operator()(D t, const State<N> & s) const = 0;
virtual double operator()(D t, const Path<D, N>& p) const = 0;
};
Cheers,
Ferdinando Ametrano wrote:
> 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
>
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