[Quantlib-dev] Update version of experimental/mcbasket

[Andrea <mar...@go...>]

Hi,

After almost 2 year I would like to post an updated version of mcbasket experimental.
The idea is still the same as the initial version: i.e. have one single engine (here 
MCAmericanPathEngine or MCPathBasketEngine) and to only have to write a new option/payoff 
(PathMultiAssetOption/PathPayoff)

Here the biggest new feature is the support of American Options.

The key feature is this virtual method of PathPayoff

         virtual void value(const Matrix       & path,
                            Array              & payments,
                            Array              & exercises,
                            std::vector<Array> & states) const = 0;

which has to return all information needed to value a payoff with early exercise (for a single path)

path: is the path of all assets/times
payments: all payments made
exercises: if the option is exercised at time i, all payment up to (and including i) are preserved 
and the others cancelled
states: a vector of financial coordinates used in LS

I have attached a diff wrt the most recent svn and an example of an American Lookback.

I can go through all the code in details if people are interested.

I don't think it makes much sense to compare it to the 1st version, since it was very limited in 
features and hardly usable at all.

TODO, problems, bugs:

- I had to copy&paste a lot of classes/templates already used in QL (e.g.: EarlyExercisePathPricer, 
LongstaffSchwartzPathPricer). My problem is that the existing EarlyExercisePathPricer only seems to 
handle an option which pays only once (i.e. at exercise), while I wanted to allow an option that 
pays many times and that I can cancel at some point

- allow for non 1-1 mapping between paths and assets (e.g. stoch vol)

- allow for non deterministic interest rates (i.e. replace the discount factors with 1/numeraire)

- find nicer names