QuantLib_PagodaOption man page
PagodaOption — Roofed Asian option on a number of assets.
Pagoda-option engine base class
Public Member Functions
PagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction)
void setupArguments (PricingEngine::arguments *) const
std::vector< Date > fixingDates_
Additional Inherited Members
Roofed Asian option on a number of assets.
The payoff is a given fraction multiplied by the minimum between a given roof and the positive portfolio performance. If the performance of the portfolio is below then the payoff is null.
This implementation still does not manage seasoned options.
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.
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The man pages fraction_(3), PagodaOption(3) and roof_(3) are aliases of QuantLib_PagodaOption(3).