Models

Tom Hyer

Chapter 13 in Derivatives Algorithms:Volume 1: Bones, 2015, pp 267-294 from World Scientific Publishing Co. Pte. Ltd.

Abstract: To provide numerical pricing, models and their SDE's (see Sec. 10.2.1) must implement the protocols of Ch. 10. Much of this functionality can be provided by the base SDE_ class; or, if the implementation does not require access to private members, in supporting free functions. The latter approach, which separates functionality from the requirement for a particular sort of this pointer, is preferred.Rather than plunge directly into these implementations, we explore the implementation of a specific simple model. In the process we will develop a mix of specific and general functionality; the latter should be easily recognizable, and will mainly be collected in ModelImp.cpp.

Keywords: Derivatives; Quantitative; Numerical; Code Generation; C++; C++11; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Extensibility (search for similar items in EconPapers)
Date: 2015
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