Vanilla option refactoring

Posted by Joseph Wang-2 on
URL: http://quantlib.414.s1.nabble.com/Vanilla-option-refactoring-tp9216.html

Just wanted to bounce this idea off people.

Right now we have

QuantoVanillaOption
QuantoForwardVanillaOption
ForwardVanillaOption

If you add in options on divdend paying stocks that's another level of
complication.

I was wondering if it would be a good idea to create the classes

QuantoInstrument
ForwardInstrument

And then use multiple inheritance to compose the option classes.

Alternatively we can use decorator templates in the same way that the engines
work.

Quanto<VanillaOption>

Thoughts?

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Joseph Wang Ph.D. - [hidden email]  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner





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