![]() QuantLib 0.3.7Getting startedReference manual |
McHimalaya Class Reference#include <ql/Pricers/mchimalaya.hpp>
Inheritance diagram for McHimalaya: ![]() Detailed DescriptionHimalayan-type option pricer.The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at end of each period the option who performed the best is added to the average and then discarded from the basket. At the end of the N periods the option pays the max between the strike and the average of the best performers.
|
QuantLib.org![]() |
Hosted by![]() |
Documentation generated by![]() |