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 boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
void setupArguments (PricingEngine::arguments *) const
void fetchResults (const PricingEngine::results *) const
Instrument interface
bool isExpired () const
 returns whether the instrument is still tradable.
greeks
Real delta () const
Real gamma () const
Real theta () const
Real vega () const
Real rho () const
Real dividendRho () const

Protected Member Functions

void setupExpired () const

Protected Attributes

Real delta_
Real gamma_
Real theta_
Real vega_
Real rho_
Real dividendRho_
boost::shared_ptr< StochasticProcessstochasticProcess_

Classes

class  arguments
 Arguments for multi-asset option calculation More...
class  results
 Results from multi-asset option calculation More...


Member Function Documentation

void fetchResults ( const PricingEngine::results *   )  const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from 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.