MultiAssetOption Class Reference

#include <ql/Instruments/multiassetoption.hpp>

Inheritance diagram for MultiAssetOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Base class for options on multiple assets.


Public Member Functions

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

void setupExpired () const
void performCalculations () const

Protected Attributes

Real delta_
Real gamma_
Real theta_
Real vega_
Real rho_
Real dividendRho_
std::vector< boost::shared_ptr<
BlackScholesProcess > > 
blackScholesProcesses_
Matrix correlation_


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 Instrument.

Reimplemented in BasketOption.

void setupExpired  )  const [protected, virtual]
 

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

void performCalculations  )  const [protected, virtual]
 

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.


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