BasketOption

A three-asset arithmetic basket option under correlated GBM.

The correlation matrix and the basket weights are fixed model inputs (host Cholesky, done once at record time); the spots, vols and rate are differentiable, so one adjoint sweep returns the per-asset delta and vega vectors of the basket.

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Fields

static final int ASSETS

Methods

static BiConsumer<AadRecorder, Nabla.Inputs<BasketMarket>> option(OptionType type, double[] weights, double strike, double[][] corr, double maturity, int steps)

type: call or put on the weighted basket level
weights: basket weights (length 3)
strike: basket strike
corr: 3×3 correlation matrix
maturity: years to expiry
steps: GBM sub-steps