PathMultiAssetOption Class Reference
Base class for path-dependent options on multiple assets. More...
#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>
Inheritance diagram for PathMultiAssetOption:

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 |
Classes | |
class | arguments |
Arguments for multi-asset option calculation More... | |
class | results |
Results from multi-asset option calculation More... | |
Public Member Functions | |
PathMultiAssetOption (const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) |
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.