Posted by
Joseph Wang-2 on
Mar 15, 2007; 1:16am
URL: http://quantlib.414.s1.nabble.com/New-Basket-Option-Code-and-question-about-StochasticProcessArray-tp9247p9249.html
I did some more refactoring of the Basket options. Now it takes a
BasketPayoff class. The BasketPayoff class takes another payoff class and
then wrappers it with basket information. This makes the system extensible
to non-vanilla payoffs, and the engines use dynamic pointer casting to figure
out what it can process.
One interesting extension would be to allow one to composite payoffs. Have a
payoff class that consists of a linear combination of payoff classes.
Another interesting possibility is to hack the SWIG code to allow definition
of payoff functions in the scripting language. The hard part is to figure
out how to avoid duplicating code with the cost functions.
On Monday 12 March 2007 12:51:31 Luigi Ballabio wrote:
> Joe,
> first of all, thanks for the effort---I've meant to do something of the
> sort for a long time but never got around to implement it.
> Just for clarity though, I'd call the base class BasketOptionPayoff
> (same for the children.) Since next release's purpose will be to get
> closer to release 1.0 (more on this later) we're not much concerned with
> backward compatibility at this time---in fact, we're trying to change a
> number of things that seemed right at some time, that we wanted to
> change after a while, but that weren't easy to change while maintaining
> backward compatibility.
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