roof_ (3) - Linux Man Pages

roof_: Roofed Asian option on a number of assets.

NAME

QuantLib::PagodaOption - Roofed Asian option on a number of assets.

SYNOPSIS


#include <ql/instruments/pagodaoption.hpp>

Inherits QuantLib::MultiAssetOption.

Classes


class engine
Pagoda-option engine base class

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_

Detailed Description

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.

Warning

This implementation still does not manage seasoned options.

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 MultiAssetOption.

Author

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