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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html">MultiAssetOption</a> </li>
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<a href="#nested-classes">Classes</a> |
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<div class="title">MultiAssetOption Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::MultiAssetOption" --><!-- doxytag: inherits="QuantLib::Option" -->
<p>Base class for options on multiple assets.
<a href="class_quant_lib_1_1_multi_asset_option.html#details">More...</a></p>
<p><code>#include <ql/instruments/multiassetoption.hpp></code></p>
<div class="dynheader">
Inheritance diagram for MultiAssetOption:</div>
<div class="dyncontent">
<div class="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"/></div>
<map name="_multi_asset_option_inherit__map" id="_multi_asset_option_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_basket_option.html" title="Basket option on a number of assets." alt="" coords="5,166,107,197"/><area shape="rect" id="node7" href="class_quant_lib_1_1_himalaya_option.html" title="Himalaya option." alt="" coords="131,166,245,197"/><area shape="rect" id="node9" href="class_quant_lib_1_1_margrabe_option.html" title="Margrabe option on two assets." alt="" coords="269,166,384,197"/><area shape="rect" id="node11" href="class_quant_lib_1_1_pagoda_option.html" title="Roofed Asian option on a number of assets." alt="" coords="408,166,509,197"/><area shape="rect" id="node13" href="class_quant_lib_1_1_spread_option.html" title="Spread option on two assets." alt="" coords="533,166,635,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_option.html" title="base option class" alt="" coords="297,6,356,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_multi_asset_option-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" 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>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adc7c8413e89f6834762dcada4ba31a79"></a><!-- doxytag: member="QuantLib::MultiAssetOption::MultiAssetOption" ref="adc7c8413e89f6834762dcada4ba31a79" args="(const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &)" -->
 </td><td class="memItemRight" valign="bottom"><b>MultiAssetOption</b> (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> > &)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::MultiAssetOption::isExpired" ref="a274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html#a274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument might have value greater than zero. <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">greeks</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2397bf69d6801e3328c9273143c87ce6"></a><!-- doxytag: member="QuantLib::MultiAssetOption::delta" ref="a2397bf69d6801e3328c9273143c87ce6" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>delta</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2c03665ff1c1e1f9fbbf077d4fb5da13"></a><!-- doxytag: member="QuantLib::MultiAssetOption::gamma" ref="a2c03665ff1c1e1f9fbbf077d4fb5da13" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>gamma</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7a00901daf5bbc66f00e4772cbe0c98f"></a><!-- doxytag: member="QuantLib::MultiAssetOption::theta" ref="a7a00901daf5bbc66f00e4772cbe0c98f" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7b972bc3d0a5ecbecb82c91b76d6e3ba"></a><!-- doxytag: member="QuantLib::MultiAssetOption::vega" ref="a7b972bc3d0a5ecbecb82c91b76d6e3ba" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>vega</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9e74bed9ddc465f1211381d725c945bb"></a><!-- doxytag: member="QuantLib::MultiAssetOption::rho" ref="a9e74bed9ddc465f1211381d725c945bb" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rho</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3275ba91d38e97f6cec10e3ade7f5f81"></a><!-- doxytag: member="QuantLib::MultiAssetOption::dividendRho" ref="a3275ba91d38e97f6cec10e3ade7f5f81" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>dividendRho</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_asset_option.html#a1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a01517fec56e5a81589c2b6f4b5681c45"></a><!-- doxytag: member="QuantLib::MultiAssetOption::delta_" ref="a01517fec56e5a81589c2b6f4b5681c45" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>delta_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a88c6756db7fb1136217d5e4f3fe88885"></a><!-- doxytag: member="QuantLib::MultiAssetOption::gamma_" ref="a88c6756db7fb1136217d5e4f3fe88885" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>gamma_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5ca0ebc8ec96d11c5542cd549f01db16"></a><!-- doxytag: member="QuantLib::MultiAssetOption::theta_" ref="a5ca0ebc8ec96d11c5542cd549f01db16" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7c212193f9c0fd38b46c202f42e9ec5b"></a><!-- doxytag: member="QuantLib::MultiAssetOption::vega_" ref="a7c212193f9c0fd38b46c202f42e9ec5b" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>vega_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a98f57706bc57f4e14ca8c8cb1cfa213b"></a><!-- doxytag: member="QuantLib::MultiAssetOption::rho_" ref="a98f57706bc57f4e14ca8c8cb1cfa213b" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rho_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6c7b39d5c2301630075ba6e2b4b179db"></a><!-- doxytag: member="QuantLib::MultiAssetOption::dividendRho_" ref="a6c7b39d5c2301630075ba6e2b4b179db" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>dividendRho_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Base class for options on multiple assets. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="aad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::MultiAssetOption::setupArguments" ref="aad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"></td><td>)</td>
<td> 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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">Option</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_himalaya_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">HimalayaOption</a>, <a class="el" href="class_quant_lib_1_1_pagoda_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">PagodaOption</a>, and <a class="el" href="class_quant_lib_1_1_margrabe_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">MargrabeOption</a>.</p>
</div>
</div>
<a class="anchor" id="aa0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::MultiAssetOption::fetchResults" ref="aa0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> </td>
<td>(</td>
<td class="paramtype">const PricingEngine::results * </td>
<td class="paramname"><em>r</em></td><td>)</td>
<td> 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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#aa0a3105ddebcff9f233fb76a8a31fafe">Instrument</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_margrabe_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">MargrabeOption</a>.</p>
</div>
</div>
<a class="anchor" id="a1ea01b653cd3880c3e5d8bc34af412d3"></a><!-- doxytag: member="QuantLib::MultiAssetOption::setupExpired" ref="a1ea01b653cd3880c3e5d8bc34af412d3" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#a1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> 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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#a1ea01b653cd3880c3e5d8bc34af412d3">Instrument</a>.</p>
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