McHimalaya Class Reference

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

Inheritance diagram for McHimalaya:

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Detailed Description

Himalayan-type option pricer.

The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at end of each period the option who performed the best is added to the average and then discarded from the basket. At the end of the N periods the option pays the max between the strike and the average of the best performers.


Public Member Functions

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