Module worst_of 

Worst-of autocallable: the structured-products flagship — an autocallable note observed on the worst performer of a basket.

At each observation the worst-of performance W(t) = min_i S_i(t) / S_i(0) is compared against the barriers; the coupon, autocall, knock-in and downside-participation logic is the single-asset AutocallablePayoff evaluated on the worst-of path expressed in initial_fixing units, so every payoff variant (Athena accrued coupons, Phoenix conditional coupons with memory, explicit observation schedules) carries over unchanged.

Paths are the correlated multi-asset lognormal dynamics of MultiAssetGbmProcess — exact joint transitions, so step count only sets monitoring resolution — driven by the shared multi-factor draw machinery (seeded pseudo-random antithetic pairs, or the low-discrepancy sequence with one Brownian bridge per asset).

Economics worth testing against: the note is long correlation (a tighter basket has a better worst performer), and adding an asset can only cheapen it.

Structs

WorstOfAutocallable

Autocallable note on the worst-of performance of a correlated basket.