QuantLib_MultiAssetOption (3) - Linux Manuals

QuantLib_MultiAssetOption: Base class for options on multiple assets.

NAME

QuantLib::MultiAssetOption - Base class for options on multiple assets.

SYNOPSIS

#include <ql/instruments/multiassetoption.hpp>

Inherits QuantLib::Option.

Inherited by BasketOption, EverestOption, HimalayaOption, and PagodaOption.

Classes

class results
Results from multi-asset option calculation

Public Member Functions

MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &)

void setupArguments (PricingEngine::arguments *) const

void fetchResults (const PricingEngine::results *) const

Instrument interface

bool isExpired () const
returns whether the instrument is still tradable.

greeks

Real delta () const

Real gamma () const

Real theta () const

Real vega () const

Real rho () const

Real dividendRho () const

Protected Member Functions

void setupExpired () const

Protected Attributes

Real delta_

Real gamma_

Real theta_

Real vega_

Real rho_

Real dividendRho_

Detailed Description

Base class for 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 Option.

Reimplemented in HimalayaOption, and PagodaOption.

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from 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.

Author

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