MultiAssetOption Class Reference

#include <ql/Instruments/multiassetoption.hpp>

Inheritance diagram for MultiAssetOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Base class for options on multiple assets.


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
Instrument interface
bool isExpired () const
 returns whether the instrument is still tradable.

greeks
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 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.

Reimplemented in BasketOption.

void setupExpired  )  const [protected, virtual]
 

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

void performCalculations  )  const [protected, virtual]
 

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.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen