pathPayoff (3) - Linux Man Pages
pathPayoff: Base class for path-dependent options on multiple assets.
QuantLib::PathMultiAssetOption - Base class for path-dependent options on multiple assets.
Public Member Functions
boost::shared_ptr< StochasticProcess > stochasticProcess_
bool isExpired () const
returns whether the instrument is still tradable.
void setupArguments (PricingEngine::arguments *) const
virtual boost::shared_ptr< PathPayoff > pathPayoff () const =0
virtual std::vector< Date > fixingDates () const =0
virtual Size numberOfAssets () const =0
void setupExpired () const
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.
void setupExpired () const [protected, virtual]
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
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