PathMultiAssetOption Class Referenceabstract

Base class for path-dependent options on multiple assets. More...

#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>

Inheritance diagram for PathMultiAssetOption:

Classes

class  arguments
 Arguments for multi-asset option calculation More...
 
class  results
 Results from multi-asset option calculation More...
 

Public Member Functions

 PathMultiAssetOption (const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
 
- Public Member Functions inherited from Instrument
virtual void fetchResults (const PricingEngine::results *) const
 
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string,
boost::any > & 
additionalResults () const
 returns all additional result returned by the pricing engine.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Instrument interface

bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void setupArguments (PricingEngine::arguments *) const
 
virtual boost::shared_ptr
< PathPayoff
pathPayoff () const =0
 
virtual std::vector< DatefixingDates () const =0
 
void setupExpired () const
 

Additional Inherited Members

- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

Base class for path-dependent options on multiple assets.

Member Function Documentation

void setupArguments ( PricingEngine::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.

void setupExpired ( ) const
protectedvirtual

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

Reimplemented from Instrument.