BasketOption Class Reference
[Financial instruments]
#include <ql/Instruments/basketoption.hpp>
Inheritance diagram for BasketOption:

Detailed Description
Basket option on a number of assets.
Public Types | |
enum | BasketType { Min, Max } |
Public Member Functions | |
BasketOption (const BasketType basketType, const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< PlainVanillaPayoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) | |
void | setupArguments (Arguments *) const |
Classes | |
class | arguments |
Arguments for basket option calculation More... | |
class | engine |
Basket option engine base class More... |
Member Function Documentation
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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. |