QuantLib_PagodaOption man page

PagodaOption — Roofed Asian option on a number of assets.


#include <ql/experimental/exoticoptions/pagodaoption.hpp>

Inherits MultiAssetOption.


class engine
Pagoda-option engine base class

Public Member Functions

PagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction)

void setupArguments (PricingEngine::arguments *) const

Protected Attributes

std::vector< Date > fixingDates_

Real roof_

Real fraction_

Additional Inherited Members

Detailed Description

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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

fraction_(3), PagodaOption(3) and roof_(3) are aliases of QuantLib_PagodaOption(3).

QuantLib Version 1.8.1 Fri Sep 23 2016