mcpagoda.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 mcpagoda.hpp
    \brief Roofed multi asset Asian option
*/

#ifndef quantlib_pagoda_pricer_h
#define quantlib_pagoda_pricer_h

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

namespace QuantLib {

    //! roofed Asian option
    /*! Given a certain portfolio of assets at the end of the period
        it is returned the minimum of a given roof and a certain
        fraction of the positive portfolio performance.  If the
        performance of the portfolio is below then the payoff is null.
    */
    class McPagoda : public McPricer<MultiVariate,PseudoRandom> {
      public:
        McPagoda(const std::vector<Real>& underlyings,
                 Real fraction,
                 Real roof,
                 const std::vector<Handle<YieldTermStructure> >&
                                                           dividendYields,
                 const Handle<YieldTermStructure>& riskFreeRate,
                 const std::vector<Handle<BlackVolTermStructure> >&
                                                             volatilities,
                 const Matrix& correlation,
                 const std::vector<Time>& times,
                 BigNatural seed = 0);
    };

}


#endif