RE: Adding a payoff function

Posted by cuchulainn on
URL: http://quantlib.414.s1.nabble.com/Adding-a-payoff-function-tp2939p2953.html

Hi
A small remark about the code. The switch statement in the MyPayoff::eval() function can be replaced by a GOF Strategy pattern so that you add new types without having to reedit. It results in more flexible code and is very flexible.

regards

Daniel J. Duffy

> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]]On Behalf
> Of Nicolas
> Magnette
> Sent: 19 May 2004 11:20
> To: [hidden email]; Luigi Ballabio
> Cc: [hidden email];
> [hidden email]
> Subject: Re: [Quantlib-users] Adding a payoff function
>
>
> Thanks a lot for your help.
>
> 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(Option::Type type,
>                          double strike1,
>                          double strike2,
> double strike3,
> double premium1, double
> premium2,
> double rate1, double rate2,
> int elapseddays)
>         : StrikedTypePayoff(type, strike1),
> elapseddays_(elapseddays), strike2_(strike2), \
> strike3_(strike3),
> premium1_(premium1), \
> premium2_(premium2),
> rate1_(rate1), rate2_(rate2) {}
>         double operator()(double price) const;
> double eval(double price, Time time_elapsed)
> const;
> double strike2() const { return strike2_; };
> double strike3() const { return strike3_; };
> double premium1() const { return premium1_; };
> double premium2() const { return premium2_; };
> double rate1() const { return rate1_; };
>   double rate2() const { return rate2_; };
> int elapseddays() const { return
> elapseddays_; };
>      private:
> double strike2_;
> double strike3_;
>         double premium1_;
>         double premium2_;
>         double rate1_;
>         double rate2_;
> int elapseddays_;
>     };
>
>     inline double MyPayoff::eval(double price, Time
> time_elapsed) const {
> //int time_elapsed = 100;
>         switch (type_) {
>           case Option::Call:
>               return -1.0;
>           case Option::Put:
>     ....      
>           case Option::Straddle:
>               return -1.0;
>           default:
>             throw Error("Unknown/Illegal option type");
>         }
> }
>
>
> Sincerely,
>
> Nicolas
>
> En réponse à Luigi Ballabio
> <[hidden email]>:
>
> > On 2004.05.19 10:19, Nicolas Magnette wrote:
> > > I need to add a very special payoff function for an
> > > exotic index option. I simply added it in
> > > Instruments\payoff.hpp, but am unable to compile
> files
> > > which use it. I always get a undefined reference to
> > > vtable for Quantlib::Mypayoff. I tried to recompile
> > > the whole library with my modified payoffs.hpp, but
> > > this did not help. Does anyone have an idea how I
> > > could make this work?
> >
> > Nicolas,
> > can you show the code of the payoff class you
> added? Of course  
> > you can hide the actual math if that is proprietary.
> But I'd like to  
> > see the signature of the class.
> >
> > Later,
> > Luigi
> >
> >
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