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QuantLib_CompoundOption

NAME

QuantLib::CompoundOption -

Compound option on a single asset.

SYNOPSIS

#include <ql/experimental/compoundoption/compoundoption.hpp>

Inherits QuantLib::OneAssetOption.

Classes

class engine
Compound-option engine base class

Public Member Functions

CompoundOption (const boost::shared_ptr< StrikedTypePayoff > &motherPayoff, const boost::shared_ptr< Exercise > &motherExercise, const boost::shared_ptr< StrikedTypePayoff > &daughterPayoff, const boost::shared_ptr< Exercise > &daughterExercise)

void setupArguments (PricingEngine::arguments *) const

Protected Attributes

boost::shared_ptr< OneAssetOption > motherOption_

Detailed Description

Compound option on a single asset.

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 Option.

Author

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