CompoundOption Class Reference
Compound option on a single asset. More...
#include <ql/experimental/compoundoption/compoundoption.hpp>
Inheritance diagram for CompoundOption:

Classes | |
class | engine |
Compound-option engine base class More... | |
Public Member Functions | |
CompoundOption (const boost::shared_ptr< StrikedTypePayoff > &motherPayoff, const boost::shared_ptr< Exercise > &motherExercise, const boost::shared_ptr< StrikedTypePayoff > &daughterPayoff, const boost::shared_ptr< Exercise > &daughterExercise) | |
void | setupArguments (PricingEngine::arguments *) const |
Protected Attributes | |
boost::shared_ptr< OneAssetOption > | motherOption_ |
Detailed Description
Compound option on a single asset.
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [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 Option.