Re: Adding a payoff function

Posted by Wujiang Lou on
URL: http://quantlib.414.s1.nabble.com/Adding-a-payoff-function-tp2939p2949.html

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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