mchimalaya.hpp

有很多的函数库

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

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*/

/*! \file mchimalaya.hpp
    \brief Himalayan-type option pricer
*/

#ifndef quantlib_himalaya_h
#define quantlib_himalaya_h

#include <ql/legacy/pricers/mcpricer.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>

namespace QuantLib {

    //! 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.
    */
    class McHimalaya : public McPricer<MultiVariate,PseudoRandom> {
      public:
        McHimalaya(
               const std::vector<Real>& underlyings,
               const std::vector<Handle<YieldTermStructure> >& dividendYields,
               const Handle<YieldTermStructure>& riskFreeRate,
               const std::vector<Handle<BlackVolTermStructure> >& volatilities,
               const Matrix& correlation,
               Real strike,
               const std::vector<Time>& times,
               BigNatural seed = 0);
    };

}


#endif