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mchimalaya.hpp

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

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 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/license.shtml>.

 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 mchimalaya.hpp
    \brief Himalayan-type option pricer
*/

#ifndef quantlib_himalaya_h
#define quantlib_himalaya_h

#include <ql/legacy/pricers/mcpricer.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>

namespace QuantLib {

    //! Himalayan-type option pricer
    /*! The payoff of a Himalaya option is computed in the following
        way: Given a basket of N assets, and N time periods, at end of
        each period the option who performed the best is added to the
        average and then discarded from the basket. At the end of the
        N periods the option pays the max between the strike and the
        average of the best performers.
    */
00041     class McHimalaya : public McPricer<MultiVariate,PseudoRandom> {
      public:
        McHimalaya(
               const std::vector<Real>& underlyings,
               const std::vector<Handle<YieldTermStructure> >& dividendYields,
               const Handle<YieldTermStructure>& riskFreeRate,
               const std::vector<Handle<BlackVolTermStructure> >& volatilities,
               const Matrix& correlation,
               Real strike,
               const std::vector<Time>& times,
               BigNatural seed = 0);
    };

}


#endif

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