added pricing engines for spread- and basket options #2110
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klausspanderen
commented
Nov 9, 2024
klausspanderen
commented
- Bjerksund-Stensland spread engine
- Operator-Splitting spread engine
- Deng-Li-Zhou basket & spread engine
- Choi basket & spread engine
- n-dim PDE basket & spread engine
sweemer
reviewed
Nov 10, 2024
ql/instruments/basketoption.hpp
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| @@ -80,6 +80,8 @@ namespace QuantLib { | |||
| a.begin(), Real(0.0)); | |||
| } | |||
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| Array weights() const { return weights_; } | |||
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Suggested change
| Array weights() const { return weights_; } | |
| const Array& weights() const { return weights_; } |
This avoids a copy when not needed.
sweemer
reviewed
Nov 10, 2024
| @@ -59,6 +61,50 @@ namespace QuantLib { | |||
| } | |||
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| MulitDimGaussianIntegration::MulitDimGaussianIntegration( | |||
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Suggested change
| MulitDimGaussianIntegration::MulitDimGaussianIntegration( | |
| MultiDimGaussianIntegration::MulitDimGaussianIntegration( |
typo
lballabio
reviewed
Nov 11, 2024
test-suite/basketoption.cpp
Outdated
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This got its executable bit turned on
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ok, strange, changed it.
removed executable bit
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