- QuantLib
- CompoundOption
 
Compound option on a single asset. More...
#include <ql/experimental/compoundoption/compoundoption.hpp>

| Classes | |
| class | engine | 
| Compound-option engine base class  More... | |
| Public Member Functions | |
| CompoundOption (const boost::shared_ptr< StrikedTypePayoff > &motherPayoff, const boost::shared_ptr< Exercise > &motherExercise, const boost::shared_ptr< StrikedTypePayoff > &daughterPayoff, const boost::shared_ptr< Exercise > &daughterExercise) | |
| void | setupArguments (PricingEngine::arguments *) const | 
| Protected Attributes | |
| boost::shared_ptr< OneAssetOption > | motherOption_ | 
Compound option on a single asset.
| 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 Option.