PagodaOption Class Reference
[Financial instruments]

Roofed Asian option on a number of assets. More...

#include <ql/experimental/exoticoptions/pagodaoption.hpp>

Inheritance diagram for PagodaOption:

List of all members.

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< DatefixingDates_
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.