29 const ext::shared_ptr<Exercise>& exercise)
31 exercise), X2_(strike2) {}
37 QL_REQUIRE(moreArgs !=
nullptr,
"wrong argument type");
Base class for options on multiple assets.
void setupArguments(PricingEngine::arguments *) const override
void setupArguments(PricingEngine::arguments *) const override
TwoAssetCorrelationOption(Option::Type type, Real strike1, Real strike2, const ext::shared_ptr< Exercise > &)
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Option exercise classes and payoff function.
Two-asset correlation option.