QuantLib_MultiAssetOption man page

MultiAssetOption — Base class for options on multiple assets.

Synopsis

#include <ql/instruments/multiassetoption.hpp>

Inherits Option.

Inherited by BasketOption, EverestOption, HimalayaOption, MargrabeOption, PagodaOption, SpreadOption, TwoAssetCorrelationOption, and VanillaVPPOption.

Classes

class results
Results from multi-asset option calculation

Public Member Functions

MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &)

void setupArguments (PricingEngine::arguments *) const

void fetchResults (const PricingEngine::results *) const

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.

greeks

Real delta () const

Real gamma () const

Real theta () const

Real vega () const

Real rho () const

Real dividendRho () const

Protected Member Functions

void setupExpired () const

Protected Attributes

Real delta_

Real gamma_

Real theta_

Real vega_

Real rho_

Real dividendRho_

Additional Inherited Members

Detailed Description

Base class for options on multiple assets.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void setupExpired () const [protected], [virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

delta_(3), dividendRho_(3), gamma_(3), MultiAssetOption(3) and vega_(3) are aliases of QuantLib_MultiAssetOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib