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QuantLib_PagodaOption
Langue: en
Version: 376447 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::PagodaOption -Roofed Asian option on a number of assets.
SYNOPSIS
#include <ql/experimental/exoticoptions/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
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