Basket Option


Basket Option is a
direct subtype of MultiAsset Option with functions Basket Option Functions, keys Basket Option keys and example object BasketOpt that represents a specialization that only differs from a Vanilla Option in that the underlying is a weighted portfolio of assets rather than a single asset.
It is considered an exotic option due to the complex dependence of the portfolio price stochastic evolution upon the volatilities of - and pairwise correlations between - the individual constituents.

The following features are currently not supported by QuantLib:
Barriers, discrete dividends/storage costs.

The pricing methodology is specified in
Model[MultiAsset Option]