American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Basket option. More...
#include <basket.h>
Public Member Functions | |
PayoffBasket * | clone () const |
Portfolio | operator() (const Spot &spot) const |
PayoffBasket (const payoff_array &payoffs) | |
PayoffBasket (const PayoffBasket &original) | |
Protected Attributes | |
payoff_array | _payoffs |
Basket option.
PayoffBasket::PayoffBasket | ( | const payoff_array & | payoffs | ) | [inline] |
PayoffBasket::PayoffBasket | ( | const PayoffBasket & | original | ) | [inline] |
PayoffBasket* PayoffBasket::clone | ( | ) | const [inline, virtual] |
Clone constructor.
Implements Payoff.
Gives payoff of option under given spot price.
Implements Payoff.
payoff_array PayoffBasket::_payoffs [protected] |