[Quantlib-dev] Basket option eye candy

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

Some more eye candy illustrating mayavi2 and QuantLib integration.  This is a 
vtk plot of three basket option surfaces.  The x and y axes are underlying 
values, and the three basket options correspond to min, max, and average 
basket options.

The integration between mayavi2 is through the python SWIG interface, and that 
works pretty much out of the box.  The thing that I'm working on right now is 

1) create some vtk API's to make it easier to create these plots and add 
labels and axes
2) figuring out how to superimpose some live data
3) figuring out the trait interfaces.  What I'd really like to get is the 
ability to have sliders modify parameters like the volatilities and then have 
the surfaces react interactively

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