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Sourcecode: quantlib version File versions  Download package

multiassetoption.hpp File Reference


Detailed Description

Option on multiple assets.

Definition in file multiassetoption.hpp.

#include <ql/option.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/Math/matrix.hpp>

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Namespaces

namespace  QuantLib

Classes

class  QuantLib::MultiAssetOption
 Base class for options on multiple assets. More...
class  QuantLib::MultiAssetOption::arguments
 Arguments for multi-asset option calculation More...
class  QuantLib::MultiAssetOption::results
 Results from multi-asset option calculation More...


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