setupExpired (3) - Linux Manuals
setupExpired: Base class for path-dependent options on multiple assets.
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.
Reimplemented from Instrument.
Author
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