McHimalaya Class Reference

#include <mchimalaya.hpp>

Inheritance diagram for McHimalaya:

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Detailed Description

Himalayan-type option pricer.

The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at end of each period the option who performed the best is added to the average and then discarded from the basket. At the end of the N periods the option pays the max between the strike and the average of the best performers.


Public Member Functions

 McHimalaya (const std::vector< double > &underlying, const Array &dividendYield, const Math::Matrix &covariance, Rate riskFreeRate, double strike, const std::vector< Time > &times, bool antitheticVariance, long seed=0)


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

QuantLib.org
QuantLib
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