Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

basketoption.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2003 Neil Firth

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/reference/license.html>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file basketoption.hpp
    \brief Basket option on a number of assets
*/

#ifndef quantlib_basket_option_hpp
#define quantlib_basket_option_hpp

#include <ql/Instruments/payoffs.hpp>
#include <ql/Instruments/multiassetoption.hpp>

namespace QuantLib {

    //! Basket option on a number of assets
    /*! \ingroup instruments */
00034     class BasketOption : public MultiAssetOption {
      public:
        class arguments;
        class engine;
        enum BasketType { Min, Max };
        BasketOption(const BasketType basketType,
                     const boost::shared_ptr<StochasticProcess>&,
                     const boost::shared_ptr<PlainVanillaPayoff>&,
                     const boost::shared_ptr<Exercise>&,
                     const boost::shared_ptr<PricingEngine>& engine =
                                          boost::shared_ptr<PricingEngine>());
        void setupArguments(Arguments*) const;
      private:
        BasketType basketType_;
    };

    //! %Arguments for basket option calculation
00051     class BasketOption::arguments : public MultiAssetOption::arguments {
      public:
        arguments() {}
        void validate() const;
        BasketType basketType;
    };


    //! %Basket option engine base class
00060     class BasketOption::engine
        : public GenericEngine<BasketOption::arguments,
                               BasketOption::results> {};

}


#endif


Generated by  Doxygen 1.6.0   Back to index