Basket Option


Basket Option is a direct subtype of MultiAsset Option
aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa
with functions Basket Option Functions, keys Basket Option keys and example object BasketOpt

TYPE INCLUSION RELATIONSHIPS

MultiAsset Option

Basket Option

</defs>

AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Base Option

</defs>

TYPICAL OBJECTS OF TYPE Basket Option

BasketOpt

</defs>

This type 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]