MultiAssetOption Class Reference
#include <ql/instruments/multiassetoption.hpp>
Inheritance diagram for MultiAssetOption:

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< StochasticProcess > | stochasticProcess_ |
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.