[Quantlib-dev] [PATCH] Hybrid products in mcbasket

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

This patch (which contains all outstanding patches for experimental/mcbasket)
enables products to price instruments depending on the yieldTermStructure (which might be stochastic).

For the time being it is still deterministic, but in the future it might change.

The key method of the payoff class is

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

the 2nd argument is the yield term structure on each fixing date.
An example to use it is

member variables

private:
    mutable RelinkableHandle<YieldTermStructure> m_termStructure;
    boost::shared_ptr<IborIndex> m_euribor3m;
	

then in value()

        const Handle<YieldTermStructure> & yieldTermStructure = forwardTermStructures[i];
        const Date & referenceDate = yieldTermStructure->referenceDate();

        // relink term structure to actual value
        m_termStructure.linkTo(yieldTermStructure.currentLink());

        const Date spotDate = m_euribor3m->fixingCalendar().adjust(referenceDate);
        const Rate spotEuribor = m_euribor3m->fixing(spotDate);

Attached the patch and a little example.

Andrea