Option Class Reference

#include <stochastic_process.h>

Inheritance diagram for Option:

List of all members.

Public Member Functions
	Option (double strike, double time, double r, int dim, double *So, double *sigma)
virtual double	call ()
Protected Attributes
const double	strike
const double	time
const double	r
const int	dim
const double *	So
const double *	sigma
RandomNumber *	mc_outcomes

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Constructor & Destructor Documentation

Option::Option	(	double	strike,
		double	time,
		double	r,
		int	dim,
		double *	So,
		double *	sigma
	)

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Member Function Documentation

virtual double Option::call

(

)

[inline, virtual]

Reimplemented in VanillaOption.

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Member Data Documentation

const double Option::strike [protected]

const double Option::time [protected]

const double Option::r [protected]

const int Option::dim [protected]

const double* Option::So [protected]

const double* Option::sigma [protected]

RandomNumber* Option::mc_outcomes [protected]

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

• include/stochastic_process.h
• src/Options/stochastic_process.cpp