McPagoda Class Reference

#include <ql/legacy/pricers/mcpagoda.hpp>

Inheritance diagram for McPagoda:

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List of all members.

Detailed Description

roofed Asian option

Given a certain portfolio of assets at the end of the period it is returned the minimum of a given roof and a certain fraction of the positive portfolio performance. If the performance of the portfolio is below then the payoff is null.


Public Member Functions

 McPagoda (const std::vector< Real > &underlyings, Real fraction, Real roof, const std::vector< Handle< YieldTermStructure > > &dividendYields, const Handle< YieldTermStructure > &riskFreeRate, const std::vector< Handle< BlackVolTermStructure > > &volatilities, const Matrix &correlation, const std::vector< Time > &times, BigNatural seed=0)