![]() QuantLib 0.3.9Getting startedReference manual |
BasketOption Class Reference |
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Public Types | |
| enum | BasketType { Min, Max } |
Public Member Functions | |
| BasketOption (const BasketType basketType, const std::vector< boost::shared_ptr< StochasticProcess > > &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 |
Classes | |
| class | arguments |
| Arguments for basket option calculation More... | |
| class | engine |
| Basket option engine base class More... | |
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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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