rho_ (3) - Linux Manuals
rho_: 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
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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