[Quantlib-dev] New Basket Option Code and question about StochasticProcessArray

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

Thanks to everyone that sent me code and pointers.

I did a backward compatible refactoring of the basket option code that makes 
it relatively easy to add new types of basket options.  Instead of using a 
enum to define the basket option, the code now allows you to subclass 
BasketOptionType which contains code on how to calculate the price of that 
option.  There are now AverageBasketOptionType, MinBasketOptionType, and 
MaxBasketOptionType, and by moving the option calculation code out of the 
engines, any new basket options can be calculated automatically by the monte 
carlo code.

I'm now in the process of putting together some swig wrappers for all of this. 

I do have a question about StochasticProcessArray.  Right now you have to 
define a vector of StochasticProcesses and then put that into the constructor 
of the array.  Would it be better to add a "push_back" method to the 
StochasticProcessArray so that you create an array object and then insert 
processes to it?

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