RE: Adding a payoff function

Posted by cuchulainn on
URL: http://quantlib.414.s1.nabble.com/Adding-a-payoff-function-tp2939p2940.html

Maybe, but the State is for modelling Dynamic attributes ( e.g. enum status {ON, OFF}) while Strategy is for modelling algorithms, and the current switch problem falls into this category it would seem.

 

I am not familiar with pattern Path; it is not a GOF pattern.

 

regards

Daniel

-----Original Message-----
From: [hidden email] [mailto:[hidden email]]On Behalf Of Wujiang Lou
Sent: 19 May 2004 14:38
To: [hidden email]
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] Adding a payoff function

A more general and extensible payoff class would need implementation of concept of State or Path, instead of one argument or two arguments.
Your operator() then has two signatures, one taking in a State while the other takes in a Path for Path dependent payoffs.
-wujiang

Luigi Ballabio wrote:

On 2004.05.19 11:20, Nicolas Magnette wrote:

> Here is my modified payoff. I had to add a
> funstion "eval" as I need the calculation of the
> payoff to take more than one argument and this is
> impossible with the operator which is standard for all
> payoffs.
>
>     class MyPayoff : public StrikedTypePayoff {
>     public:
>         MyPayoff(...)
>         : ...  {}
>         double operator()(double price) const;
>         double eval(double price, Time time_elapsed) const;
>         ...
>      private:
>          ...
>     };
>
>     inline double MyPayoff::eval(double price, Time
> time_elapsed) const {
>       ...
> }

Nicolas,

        besides declaring it, did you actually define operator()
somewhere?

Later,
        Luigi

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