Posted by
Gísli Sigurbjörn Óttarsson KB banki on
Apr 05, 2006; 4:55am
URL: http://quantlib.414.s1.nabble.com/BasketOption-tp4670p4671.html
Yes, I am willing to try this. In a locally modified copy I have
supplemented "Min" and "Max" with "Sum" and handled the weights by
scaling the initial price quote of each asset. This works well.
Unfortunately, this seems to make it inconvenient to change to weights
if the basket is to be rebalanced. I´ll experiment with a "WeightedSum"
attribute and a weight vector.
Gisli
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: 5. apríl 2006 09:15
To: Gísli Sigurbjörn Óttarsson KB banki
Cc:
[hidden email]
Subject: Re: [Quantlib-users] BasketOption
On 03/28/2006 12:52:04 PM, Gísli Sigurbjörn Óttarsson KB banki wrote:
> I find that there does not appear to be a way to specify different
> weights for the assets in the basket, or to specify the position in
> each of the assets.
>
> Secondly, only two types of baskets are available, called Max and Min
Gísli,
I guess the weighted type should be added besides Min and Max, and a vector of weights should be passed to the option. Such vector would have to be stored in its arguments and passed down to the path pricer, which could then use it to compute the correct payoff. Are you willing to try and implement this?
Later,
Luigi
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This gubblick contains many nonsklarkish English flutzpahs, but the overall pluggandisp can be glorked from context.
-- David Moser