pathmultiassetoption.hpp

Langue: en

Autres versions - même langue

Version: 167455 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/experimental/mcbasket/pathmultiassetoption.hpp - Option on multiple assets.

SYNOPSIS


#include <ql/instrument.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>

Classes


class PathMultiAssetOption
Base class for path-dependent options on multiple assets.
class PathMultiAssetOption::arguments
Arguments for multi-asset option calculation
class PathMultiAssetOption::results
Results from multi-asset option calculation

Detailed Description

Option on multiple assets.

Author

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