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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_multi_asset_option.html">MultiAssetOption</a></div>
<h1>MultiAssetOption Class Reference</h1><!-- doxytag: class="QuantLib::MultiAssetOption" --><!-- doxytag: inherits="QuantLib::Option" --><code>#include <ql/Instruments/multiassetoption.hpp></code>
<p>
Inheritance diagram for MultiAssetOption:<p><center><img src="class_quant_lib_1_1_multi_asset_option__inherit__graph.png" border="0" usemap="#_multi_asset_option__inherit__map" alt="Inheritance graph"></center>
<map name="_multi_asset_option__inherit__map">
<area href="class_quant_lib_1_1_basket_option.html" shape="rect" coords="56,380,168,404" alt="">
<area href="class_quant_lib_1_1_option.html" shape="rect" coords="79,231,145,255" alt="">
<area href="class_quant_lib_1_1_instrument.html" shape="rect" coords="64,156,160,180" alt="">
<area href="class_quant_lib_1_1_lazy_object.html" shape="rect" coords="64,82,160,106" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="5,7,104,31" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="128,7,211,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_multi_asset_option-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Base class for options on multiple assets.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d631325b1c02cef6c3aa936d93eb71ff"></a><!-- doxytag: member="QuantLib::MultiAssetOption::MultiAssetOption" ref="d631325b1c02cef6c3aa936d93eb71ff" args="(const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())" -->
</td><td class="memItemRight" valign="bottom"><b>MultiAssetOption</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_payoff.html">Payoff</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_exercise.html">Exercise</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > &engine=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> >())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">setupArguments</a> (<a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> *) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html#c09d03fe142ca309b1927896da95754c">fetchResults</a> (const <a class="el" href="class_quant_lib_1_1_results.html">Results</a> *) const</td></tr>
<tr><td colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="72b04552f657bbfa9384c3c6139a7725"></a><!-- doxytag: member="QuantLib::MultiAssetOption::isExpired" ref="72b04552f657bbfa9384c3c6139a7725" args="() const" -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html#72b04552f657bbfa9384c3c6139a7725">isExpired</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument is still tradable. <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">greeks</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="397f8534c2b3d08642e5040c40426ab7"></a><!-- doxytag: member="QuantLib::MultiAssetOption::delta" ref="397f8534c2b3d08642e5040c40426ab7" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>delta</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aed679bde0c499002fce41342891b61d"></a><!-- doxytag: member="QuantLib::MultiAssetOption::gamma" ref="aed679bde0c499002fce41342891b61d" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>gamma</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="211532127d83c15b17647a043e9efd36"></a><!-- doxytag: member="QuantLib::MultiAssetOption::theta" ref="211532127d83c15b17647a043e9efd36" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>theta</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="731619e7ed2d436cbe5eff2abffa11a0"></a><!-- doxytag: member="QuantLib::MultiAssetOption::vega" ref="731619e7ed2d436cbe5eff2abffa11a0" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>vega</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="891ea127047dcd9acc1dff3dbf26e88e"></a><!-- doxytag: member="QuantLib::MultiAssetOption::rho" ref="891ea127047dcd9acc1dff3dbf26e88e" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>rho</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b4a1639c3e385d85ad87e75f842e281b"></a><!-- doxytag: member="QuantLib::MultiAssetOption::dividendRho" ref="b4a1639c3e385d85ad87e75f842e281b" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>dividendRho</b> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html#ef24082dd24f1330f587e552a7dc4f69">setupExpired</a> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="01517fec56e5a81589c2b6f4b5681c45"></a><!-- doxytag: member="QuantLib::MultiAssetOption::delta_" ref="01517fec56e5a81589c2b6f4b5681c45" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>delta_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="88c6756db7fb1136217d5e4f3fe88885"></a><!-- doxytag: member="QuantLib::MultiAssetOption::gamma_" ref="88c6756db7fb1136217d5e4f3fe88885" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>gamma_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5ca0ebc8ec96d11c5542cd549f01db16"></a><!-- doxytag: member="QuantLib::MultiAssetOption::theta_" ref="5ca0ebc8ec96d11c5542cd549f01db16" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>theta_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7c212193f9c0fd38b46c202f42e9ec5b"></a><!-- doxytag: member="QuantLib::MultiAssetOption::vega_" ref="7c212193f9c0fd38b46c202f42e9ec5b" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>vega_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="98f57706bc57f4e14ca8c8cb1cfa213b"></a><!-- doxytag: member="QuantLib::MultiAssetOption::rho_" ref="98f57706bc57f4e14ca8c8cb1cfa213b" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>rho_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6c7b39d5c2301630075ba6e2b4b179db"></a><!-- doxytag: member="QuantLib::MultiAssetOption::dividendRho_" ref="6c7b39d5c2301630075ba6e2b4b179db" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>dividendRho_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b13693a2f07ca8715b69c3249995156e"></a><!-- doxytag: member="QuantLib::MultiAssetOption::stochasticProcess_" ref="b13693a2f07ca8715b69c3249995156e" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > </td><td class="memItemRight" valign="bottom"><b>stochasticProcess_</b></td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for multi-asset option calculation <a href="class_quant_lib_1_1_multi_asset_option_1_1arguments.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option_1_1results.html">results</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Results from multi-asset option calculation <a href="class_quant_lib_1_1_multi_asset_option_1_1results.html#_details">More...</a><br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="5343dd1b4e84eb46141f7e3fdd87eb15"></a><!-- doxytag: member="QuantLib::MultiAssetOption::setupArguments" ref="5343dd1b4e84eb46141f7e3fdd87eb15" args="(Arguments *) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#5343dd1b4e84eb46141f7e3fdd87eb15">Instrument</a>.
<p>
Reimplemented in <a class="el" href="class_quant_lib_1_1_basket_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">BasketOption</a>.
</div>
</div><p>
<a class="anchor" name="c09d03fe142ca309b1927896da95754c"></a><!-- doxytag: member="QuantLib::MultiAssetOption::fetchResults" ref="c09d03fe142ca309b1927896da95754c" args="(const Results *) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void fetchResults </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_results.html">Results</a> * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#c09d03fe142ca309b1927896da95754c">Instrument</a>.
</div>
</div><p>
<a class="anchor" name="ef24082dd24f1330f587e552a7dc4f69"></a><!-- doxytag: member="QuantLib::MultiAssetOption::setupExpired" ref="ef24082dd24f1330f587e552a7dc4f69" args="() const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void setupExpired </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method must leave the instrument in a consistent state when the expiration condition is met.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#ef24082dd24f1330f587e552a7dc4f69">Instrument</a>.
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