pathPayoff (3) - Linux Manuals

pathPayoff: Base class for path-dependent options on multiple assets.

Command to display pathPayoff manual in Linux: $ man 3 pathPayoff

NAME

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

SYNOPSIS

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

Inherits QuantLib::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< StochasticProcess > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())

Instrument interface

boost::shared_ptr< StochasticProcess > stochasticProcess_

bool isExpired () const
returns whether the instrument is still tradable.
void setupArguments (PricingEngine::arguments *) const

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

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

virtual Size numberOfAssets () const =0

void setupExpired () const

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.