The payoff structure of simple rainbow options (e.g. best-of) is fairly simple. The challenge in pricing these multi-asset exotic is the difficulty in incorporating correlation in the multi-asset simulation model.
A rough roadmap:
[ ] Refractor MC engine to support multiple un-correlated simulated equity names
[ ] Incorporate Cholesky decomposition into the random number generation process to allow for correlated Brownians, #29
[ ] Support multi-asset payoff structures
[ ] Put everything together (and adding unit tests)
The payoff structure of simple rainbow options (e.g. best-of) is fairly simple. The challenge in pricing these multi-asset exotic is the difficulty in incorporating correlation in the multi-asset simulation model.
A rough roadmap: