Compound option on a single asset. More...

#include <ql/experimental/compoundoption/compoundoption.hpp>

Inheritance diagram for CompoundOption:

List of all members.

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< OneAssetOptionmotherOption_

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.