QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
pathmultiassetoption.hpp File Reference

Option on multiple assets. More...

#include <ql/instrument.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>

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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
 

Detailed Description

Option on multiple assets.

Definition in file pathmultiassetoption.hpp.