Option on multiple assets. More...
#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. More... | |
class | PathMultiAssetOption::arguments |
Arguments for multi-asset option calculation More... | |
class | PathMultiAssetOption::results |
Results from multi-asset option calculation More... | |
Namespaces | |
QuantLib | |
Option on multiple assets.