defining payoff of basket option
Posted by
Eye Doc on
URL: http://quantlib.414.s1.nabble.com/defining-payoff-of-basket-option-tp6930.html
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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