QuantLib_PathMultiAssetOption man page

PathMultiAssetOption — Base class for path-dependent options on multiple assets.

Synopsis

#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>

Inherits Instrument.

Classes

class arguments
Arguments for multi-asset option calculation
class results
Results from multi-asset option calculation

Public Member Functions

PathMultiAssetOption (const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const

virtual boost::shared_ptr< PathPayoff > pathPayoff () const =0

virtual std::vector< Date > fixingDates () const =0

void setupExpired () const

Additional Inherited Members

Detailed Description

Base class for path-dependent 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 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

PathMultiAssetOption(3) and pathPayoff(3) are aliases of QuantLib_PathMultiAssetOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib