PagodaPathPricer_old Class Reference

#include <pagodapathpricer.hpp>

Inheritance diagram for PagodaPathPricer_old:

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Detailed Description

multipath pricer for pagoda options

A pagoda option is a multi-asset asian option with a cap (the pagoda "roof"). Given a portfolio of assets the payoff is the arithmetic average of the portfolio performance, with a maximum cap given by the roof.


Public Member Functions

 PagodaPathPricer_old (const std::vector< double > &underlying, double roof, DiscountFactor discount, bool useAntitheticVariance)
double operator() (const MultiPath &path) const


The documentation for this class was generated from the following files:

QuantLib.org
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