QuantLib_PathMultiAssetOption_arguments (3) Linux Manual Page

QuantLib::PathMultiAssetOption::arguments – Arguments for multi-asset option calculation

Synopsis

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

Inherits QuantLib::PricingEngine::arguments.

Public Member Functions

void validate () const

Public Attributes

boost::shared_ptr< StochasticProcess > stochasticProcess

boost::shared_ptr< PathPayoff > payoff

std::vector< Date > fixingDates

Detailed Description

Arguments for multi-asset option calculation

Author

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