roof_ (3) - Linux Manuals

roof_: Roofed Asian option on a number of assets.

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

NAME

QuantLib::PagodaOption - Roofed Asian option on a number of assets.

SYNOPSIS

#include <ql/instruments/pagodaoption.hpp>

Inherits QuantLib::MultiAssetOption.

Classes

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_

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.

Warning

: 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 MultiAssetOption.

Author

Generated automatically by Doxygen for QuantLib from the source code.