Option Class Reference

#include <stochastic_process.h>

Inheritance diagram for Option:

BasketOption VanillaOption

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
RandomNumbermc_outcomes


Constructor & Destructor Documentation

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


Member Function Documentation

virtual double Option::call (  )  [inline, virtual]

Reimplemented in VanillaOption.


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]


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

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