QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
instruments
basketoption.cpp
Go to the documentation of this file.
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2003 Neil Firth
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Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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Copyright (C) 2007 StatPro Italia srl
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Copyright (C) 2007 Joseph Wang
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <
ql/instruments/basketoption.hpp
>
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namespace
QuantLib
{
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BasketOption::BasketOption
(
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const
ext::shared_ptr<BasketPayoff>&
payoff
,
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const
ext::shared_ptr<Exercise>& exercise)
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:
MultiAssetOption
(
payoff
, exercise) {}
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}
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basketoption.hpp
Basket option on a number of assets.
QuantLib::BasketOption::BasketOption
BasketOption(const ext::shared_ptr< BasketPayoff > &, const ext::shared_ptr< Exercise > &)
Definition:
basketoption.cpp:27
QuantLib::MultiAssetOption
Base class for options on multiple assets.
Definition:
multiassetoption.hpp:34
payoff
ext::shared_ptr< QuantLib::Payoff > payoff
Definition:
integralhestonvarianceoptionengine.cpp:350
QuantLib
Definition:
any.hpp:35
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