HimalayaPathPricer_old Class Reference

#include <himalayapathpricer.hpp>

Inheritance diagram for HimalayaPathPricer_old:

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Detailed Description

multipath pricer for European-type Himalaya option

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


Public Member Functions

 HimalayaPathPricer_old (const std::vector< double > &underlying, double strike, DiscountFactor discount, bool useAntitheticVariance)
double operator() (const MultiPath &multiPath) const


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

QuantLib.org
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