Re: [Quantlib-dev] Vanilla option refactoring

[Luigi B. <lui...@gm...>]

Hi Joe,

On Sat, 2007-02-24 at 14:42 -0600, Joseph Wang wrote:
> 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?

We tried that---the idea is surely interesting---but for some reason it
didn't seem to work. I don't remember what was the problem though. Why
don't you try prototyping it?

Later,
	Luigi


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