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QuantLib::PathMultiAssetOption Class Reference

#include <pathmultiassetoption.hpp>

Inheritance diagram for QuantLib::PathMultiAssetOption:

QuantLib::Instrument QuantLib::LazyObject QuantLib::Observable QuantLib::Observer

List of all members.


Detailed Description

Base class for path-dependent options on multiple assets.

Definition at line 35 of file pathmultiassetoption.hpp.


Instrument interface

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

Public Member Functions

virtual void fetchResults (const PricingEngine::results *) const
void notifyObservers ()
 PathMultiAssetOption (const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
void registerWith (const boost::shared_ptr< Observable > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
Inspectors
const std::map< std::string,
boost::any > & 
additionalResults () const
 returns all additional result returned by the pricing engine.
Real errorEstimate () const
 returns the error estimate on the NPV when available.
Real NPV () const
 returns the net present value of the instrument.
template<typename T>
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
const DatevaluationDate () const
 returns the date the net present value refers to.
Calculations
These methods do not modify the structure of the object and are therefore declared as const. Data members which will be calculated on demand need to be declared as mutable.

void freeze ()
void recalculate ()
void unfreeze ()
Modifiers
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used.
Observer interface
void update ()

Protected Member Functions

Calculations
void calculate () const
virtual void performCalculations () const

Protected Attributes

bool calculated_
boost::shared_ptr< PricingEngineengine_
bool frozen_
Results
The value of this attribute and any other that derived classes might declare must be set during calculation.

std::map< std::string, boost::any > additionalResults_
Real errorEstimate_
Real NPV_
Date valuationDate_

Classes

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

The documentation for this class was generated from the following files:

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