[Quantlib-dev] Vanilla option refactoring

[Joseph W. <jo...@gn...>]

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. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner