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QuantLib_PathMultiAssetOption
Langue: en
Version: 378739 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- 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.
- void setupExpired () const [protected, virtual]This method must leave the instrument in a consistent state when the expiration condition is met.
- Author
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< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
Instrument interface
bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const
virtual boost::shared_ptr< PathPayoff > pathPayoff () const =0
virtual std::vector< Date > fixingDates () 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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