29 const ext::shared_ptr<PricingEngine>&
engine) {
Black constant volatility, no time dependence, no strike dependence.
virtual bool hasOccurred(const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const
returns true if an event has already occurred before a date
void setPricingEngine(const ext::shared_ptr< PricingEngine > &)
set the pricing engine to be used.
Arguments for multi-asset option calculation
std::vector< Date > fixingDates
ext::shared_ptr< PathPayoff > payoff
void validate() const override
void setupArguments(PricingEngine::arguments *) const override
bool isExpired() const override
returns whether the instrument might have value greater than zero.
virtual std::vector< Date > fixingDates() const =0
void setupExpired() const override
PathMultiAssetOption(const ext::shared_ptr< PricingEngine > &engine=ext::shared_ptr< PricingEngine >())
virtual ext::shared_ptr< PathPayoff > pathPayoff() const =0
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Base class for events associated with a given date.
Option on multiple assets.
Array of correlated 1-D stochastic processes.