defining payoff of basket option

[Eye Doc]

 
I would like to know how I can define a payoff function for a basket opion.
I want to price a simple basket option (call / put) on the arithmetic mean of the components.
 
I have tried 
 
Option.Type optionType = Option.Type.Call;

EuropeanExercise europeanExercise = new EuropeanExercise(maturityDate); 

PlainVanillaPayoff payoffCallBask = new PlainVanillaPayoff(optionType, strikePrice);

BasketOption

baskOption = new BasketOption(payoffCallBask, europeanExercise);

but get the message: "wrong payoff given"

(I am just learning how to use Quanlib. I use Quantlib in C# via SWIG. 
 

regards,

Bastiaan

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[Luigi Ballabio]

On Mon, 2008-12-08 at 10:33 +0100, Eye Doc wrote:
>  
> I would like to know how I can define a payoff function for a basket
> opion.
> I want to price a simple basket option (call / put) on the arithmetic
> mean of the components.

You'll have to use AverageBasketPayoff, instead of passing a
PlainVanillaPayoff to the option. Something like:

PlainVanillaPayoff payoffCall = new PlainVanillaPayoff(optionType,
strikePrice);

BasketPayoff payoffBask = new AverageBasketPayoff(payoffCall, N);

BasketOption baskOption = new BasketOption(payoffBask,
europeanExercise);

where N is the number of instruments in the basket.

Luigi



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