- QuantLib
- PagodaOption
 
Roofed Asian option on a number of assets. More...
#include <ql/experimental/exoticoptions/pagodaoption.hpp>

| 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_ | 
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.
| 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.