MultiAssetOption Class Reference#include <ql/Instruments/multiassetoption.hpp>
Inheritance diagram for MultiAssetOption:
[legend]List of all members.
Detailed Description
Base class for options on multiple assets.
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Public Member Functions |
| MultiAssetOption (const std::vector< Handle< BlackScholesStochasticProcess > > &stochProcs, const Handle< Payoff > &payoff, const Handle< Exercise > &exercise, const Matrix &correlation, const Handle< PricingEngine > &engine=Handle< PricingEngine >()) |
void | setupArguments (Arguments *) const |
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bool | isExpired () const |
| returns whether the instrument is still tradable.
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double | delta () const |
double | gamma () const |
double | theta () const |
double | vega () const |
double | rho () const |
double | dividendRho () const |
Protected Member Functions |
void | setupExpired () const |
void | performCalculations () const |
Protected Attributes |
double | delta_ |
double | gamma_ |
double | theta_ |
double | vega_ |
double | rho_ |
double | dividendRho_ |
std::vector< Handle< BlackScholesStochasticProcess > > | blackScholesProcesses_ |
Matrix | correlation_ |
Member Function Documentation
void setupArguments |
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Arguments * |
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const [virtual] |
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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 Instrument.
Reimplemented in BasketOption. |
void setupExpired |
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const [protected, virtual] |
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This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument. |
void performCalculations |
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const [protected, virtual] |
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In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.
Reimplemented in BasketOption. |
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