QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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basketoption.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Neil Firth
5 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
6 Copyright (C) 2007 StatPro Italia srl
7 Copyright (C) 2007 Joseph Wang
8
9 This file is part of QuantLib, a free-software/open-source library
10 for financial quantitative analysts and developers - http://quantlib.org/
11
12 QuantLib is free software: you can redistribute it and/or modify it
13 under the terms of the QuantLib license. You should have received a
14 copy of the license along with this program; if not, please email
15 <quantlib-dev@lists.sf.net>. The license is also available online at
16 <http://quantlib.org/license.shtml>.
17
18 This program is distributed in the hope that it will be useful, but WITHOUT
19 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20 FOR A PARTICULAR PURPOSE. See the license for more details.
21*/
22
24
25namespace QuantLib {
26
28 const ext::shared_ptr<BasketPayoff>& payoff,
29 const ext::shared_ptr<Exercise>& exercise)
30 : MultiAssetOption(payoff, exercise) {}
31
32}
33
Basket option on a number of assets.
BasketOption(const ext::shared_ptr< BasketPayoff > &, const ext::shared_ptr< Exercise > &)
Base class for options on multiple assets.
ext::shared_ptr< QuantLib::Payoff > payoff
Definition: any.hpp:35