QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Option on multiple assets. More...
#include <ql/instrument.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>
Go to the source code of this file.
Classes | |
class | PathMultiAssetOption |
Base class for path-dependent options on multiple assets. More... | |
class | PathMultiAssetOption::arguments |
Arguments for multi-asset option calculation More... | |
class | PathMultiAssetOption::results |
Results from multi-asset option calculation More... | |
class | PathMultiAssetOption::engine |
Namespaces | |
namespace | QuantLib |
Option on multiple assets.
Definition in file pathmultiassetoption.hpp.