Posted by
andrea-110 on
URL: http://quantlib.414.s1.nabble.com/Path-dependent-basket-options-tp5288p5289.html
Mario Rossi wrote:
> What I cannot understand is the class Payoff which is base class for BasketPayoff.
> Why does it have a member function:
>
> virtual Real operator()(Real price) const = 0;
>
> that only accepts Real numbers? In my case it should accept at least an array, even better a matrix
> of values.
I've digged a bit more into the code and I think what I need is to create a Multi Asset Multi Time
option inheriting from Instrument and not from Option (that requires a Payoff which is too
restrictive in my opinion).
Afterwards I can create a new Multi Asset Multi Time Payoff.
Since what I really need is to call
Instrument::setPricingEngine(const boost::shared_ptr<PricingEngine>&);
on my product.
BUT
I would rather reuse as much as possible of the existing code.
Could someone please address me towards the best place where to start coding for a Generic Multi
Asset Path Dependent Product.
mcbasketengine.cpp is very close to what I need, but on the product side I am a bit lost.
Thank you
Andrea
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