[Quantlib-dev] Help on Multi Asset Options

[Andrea <mar...@go...>]

Hi,

I'm writing here after attempts on the other mailing list which seems a bit dead.
I hope it is a better place for my problem.

I have to confess that I am a new user of QuantLib and I would like to write a "generic" MC engine
to price "generic" product depending on many fixings of many assets.

I've found in QuantLib something that is almost what I want, and it is the "mcbasketengine".
It lack only the ability to price path dependent options. But I don't think it is complicated to add it.

My issue is on the instrument side.
I would like to reuse as much as possible what is already there, but I am not able to use of the
classes inheriting from "Option" and "Payoff".

I should inherit from "Instrument", but this is the very base class and I would end up rewriting
something similar to "Option" and "Payoff".

The problem with "Option" and "Payoff" is that the don't seem to handle the case of Multi Assets.

1)Basically Payoff has this method

virtual Real Payoff::operator()(Real price) const = 0;

That does not adapt easily to the MultiAsset case.

BasketPayoff sligthly improves things with

        virtual Real operator()(const Array &a) const {
            return (*basePayoff_)(accumulate(a));
        }

but it still relies on the concept of Basket = sum of components.

2) MultiAssetOption has the following methods

        Real delta() const;
        Real gamma() const;
        Real vega() const;
        Real dividendRho() const;

which in my opinion should return Arrays or Matrices

Am I approaching the problem from the wrong point of view?

Let me know what if the best place to address similar questions.

Andrea