Base class for path-dependent options on multiple assets. More...
#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>
Classes | |
class | arguments |
Arguments for multi-asset option calculation More... | |
class | results |
Results from multi-asset option calculation More... | |
Public Member Functions | |
PathMultiAssetOption (const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) | |
![]() | |
virtual void | fetchResults (const PricingEngine::results *) const |
Real | NPV () const |
returns the net present value of the instrument. | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. | |
const Date & | valuationDate () const |
returns the date the net present value refers to. | |
template<typename T > | |
T | result (const std::string &tag) const |
returns any additional result returned by the pricing engine. | |
const std::map< std::string, boost::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. | |
void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. More... | |
![]() | |
void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
void | setupArguments (PricingEngine::arguments *) const |
virtual boost::shared_ptr< PathPayoff > | pathPayoff () const =0 |
virtual std::vector< Date > | fixingDates () const =0 |
void | setupExpired () const |
Additional Inherited Members | |
![]() | |
void | calculate () const |
virtual void | performCalculations () const |
![]() | |
![]() | |
boost::shared_ptr< PricingEngine > | engine_ |
Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
![]() | |
bool | calculated_ |
bool | frozen_ |
Base class for path-dependent options on multiple assets.
|
virtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
|
protectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.