[Quantlib-users] Transition from version 1:30 to 1.37+

[Martin A. <ma...@da...>]

Hi quantlib-users,

I am reaching out to ask you guys for some hints on proper transitioning to the newly refactored classes and methods related to equity option valuation calcs.

We have in our code the older and now apparently outdated construct based on previous organization of the code. It is semi-clear to us how to proceed with the code available in version 1.37 (and most probably and hopefully up for quite a long time).

I attached an excerpt of the code that is dealing with the instantiation and proper setup of the option object depending on the exercise style, preselection of the engine, and finally the distinction between the presence of discrete dividend data vs. dividend yield.

My understanding is that the new code should be used in somehow simpler fashion but cannot quit clearly figure out the proper way (and maybe order) of setup steps to do to hit all of the input data variations we are considering in our current code.

Any hint or advice is going to be highly appreciated,

Thank you


Martin Adamec
CTO, DataDock Solutions
datadocksolutions.com


862-221-1246 | ma...@da...
40 Wall St, FL 43 | New York, NY 10005 | USA