Implement Basket using the composite pattern. Modify vanilla options so their underlier can be any instrument that is priceable, for example a Basket. Test europeans on baskets (with the vol surface at the basket level, so we can use standard Black Scholes).
Implement Basket using the composite pattern. Modify vanilla options so their underlier can be any instrument that is priceable, for example a Basket. Test europeans on baskets (with the vol surface at the basket level, so we can use standard Black Scholes).