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Sourcecode: quantlib version File versions  Download package

pathmultiassetoption.hpp File Reference


Detailed Description

Option on multiple assets.

Definition in file pathmultiassetoption.hpp.

#include <ql/instrument.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

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


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