BasketOption Class Reference
[Financial instruments]

#include <ql/Instruments/basketoption.hpp>

Inheritance diagram for BasketOption:

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List of all members.

Detailed Description

Basket option on a number of assets.


Public Types

enum  BasketType { Min, Max }

Public Member Functions

 BasketOption (const BasketType basketType, const std::vector< boost::shared_ptr< BlackScholesProcess > > &stochProcs, const boost::shared_ptr< PlainVanillaPayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const Matrix &correlation, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
void setupArguments (Arguments *) const


Member Function Documentation

void setupArguments 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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