Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Caching-the-pricing-engine-tp6574p6579.html
On Sun, 2008-09-21 at 13:43 -0400, Robert Kubrick wrote:
> Oops, my bad. The problem was due to the option arguments, not the
> quotes. I thought setupArguments() was mean't to set payoff and
> exercise at runtime, but it actually retrieves the current values.
>
> Is there a way to change strike and exercise of an existing option?
> Or can I setup an option with multiple strikes/exercises?
No current way--the idea being that, while market conditions change, the
terms of an option don't. You'll need to instantiate multiple options.
Luigi
P.S. You could also inherit your own class from StrikedTypePayoff and
allow the strike to change.
--
Call on God, but row away from the rocks.
-- Indian proverb
-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users