roof_ (3) - Linux Man Pages
roof_: Roofed Asian option on a number of assets.
QuantLib::PagodaOption - Roofed Asian option on a number of assets.
Public Member Functions
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.
- 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.
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