Re: BasketOption

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/BasketOption-tp4670p4672.html

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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