PagodaOption Class Reference
[Financial instruments]
Roofed Asian option on a number of assets.
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#include <ql/instruments/pagodaoption.hpp>
Inheritance diagram for PagodaOption:

Classes | |
class | engine |
Pagoda-option engine base class More... | |
Public Member Functions | |
PagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction) | |
void | setupArguments (PricingEngine::arguments *) const |
Protected Attributes | |
std::vector< Date > | fixingDates_ |
Real | roof_ |
Real | fraction_ |
Detailed Description
Roofed Asian option on a number of assets.The payoff is a given fraction multiplied by the minimum between a given roof and the positive portfolio performance. If the performance of the portfolio is below then the payoff is null.
- Warning:
- This implementation still does not manage seasoned options.
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from MultiAssetOption.