QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <basketoption.hpp>
Public Member Functions | |
AverageBasketPayoff (const ext::shared_ptr< Payoff > &p, Array a) | |
AverageBasketPayoff (const ext::shared_ptr< Payoff > &p, Size n) | |
Real | accumulate (const Array &a) const override |
Public Member Functions inherited from BasketPayoff | |
BasketPayoff (ext::shared_ptr< Payoff > p) | |
~BasketPayoff () override=default | |
std::string | name () const override |
std::string | description () const override |
Real | operator() (Real price) const override |
virtual Real | operator() (const Array &a) const |
virtual Real | accumulate (const Array &a) const =0 |
ext::shared_ptr< Payoff > | basePayoff () |
Public Member Functions inherited from Payoff | |
virtual | ~Payoff ()=default |
virtual void | accept (AcyclicVisitor &) |
Private Attributes | |
Array | weights_ |
Definition at line 70 of file basketoption.hpp.
AverageBasketPayoff | ( | const ext::shared_ptr< Payoff > & | p, |
Array | a | ||
) |
Definition at line 72 of file basketoption.hpp.
AverageBasketPayoff | ( | const ext::shared_ptr< Payoff > & | p, |
Size | n | ||
) |
Definition at line 74 of file basketoption.hpp.
Implements BasketPayoff.
Definition at line 77 of file basketoption.hpp.
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private |
Definition at line 84 of file basketoption.hpp.