- QuantLib
- PathMultiAssetOption
 
Base class for path-dependent options on multiple assets. More...
#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>

| 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 >()) | |
| 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< Date > | fixingDates () const =0 | 
| void | setupExpired () const | 
Base class for path-dependent options on multiple assets.
| 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.