McPagoda Class Reference
#include <ql/legacy/pricers/mcpagoda.hpp>
Inheritance diagram for McPagoda:

Detailed Description
roofed Asian optionGiven 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 > > ÷ndYields, const Handle< YieldTermStructure > &riskFreeRate, const std::vector< Handle< BlackVolTermStructure > > &volatilities, const Matrix &correlation, const std::vector< Time > ×, BigNatural seed=0) |