PathMultiAssetOption Class Reference

Base class for path-dependent options on multiple assets. More...

#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>

Inheritance diagram for PathMultiAssetOption:

List of all members.

Instrument interface

bool isExpired () const
 returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const
virtual boost::shared_ptr
< PathPayoff
pathPayoff () const =0
virtual std::vector< DatefixingDates () const =0
void setupExpired () const

Classes

class  arguments
 Arguments for multi-asset option calculation More...
class  results
 Results from multi-asset option calculation More...

Public Member Functions

 PathMultiAssetOption (const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())


Detailed Description

Base class for path-dependent options on multiple assets.

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 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.