QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
HestonHullWhitePathPricer Class Reference

#include <mchestonhullwhiteengine.hpp>

+ Inheritance diagram for HestonHullWhitePathPricer:
+ Collaboration diagram for HestonHullWhitePathPricer:

Public Member Functions

 HestonHullWhitePathPricer (Time exerciseTime, ext::shared_ptr< Payoff > payoff, ext::shared_ptr< HybridHestonHullWhiteProcess > process)
 
Real operator() (const MultiPath &path) const override
 
- Public Member Functions inherited from PathPricer< MultiPath >
virtual ~PathPricer ()=default
 
virtual Real operator() (const MultiPath &path) const=0
 

Private Attributes

Time exerciseTime_
 
ext::shared_ptr< Payoffpayoff_
 
ext::shared_ptr< HybridHestonHullWhiteProcessprocess_
 

Additional Inherited Members

- Public Types inherited from PathPricer< MultiPath >
typedef Real result_type
 

Detailed Description

Definition at line 95 of file mchestonhullwhiteengine.hpp.

Constructor & Destructor Documentation

◆ HestonHullWhitePathPricer()

HestonHullWhitePathPricer ( Time  exerciseTime,
ext::shared_ptr< Payoff payoff,
ext::shared_ptr< HybridHestonHullWhiteProcess process 
)

Definition at line 29 of file mchestonhullwhiteengine.cpp.

Member Function Documentation

◆ operator()()

Real operator() ( const MultiPath path) const
overridevirtual

Implements PathPricer< MultiPath >.

Definition at line 35 of file mchestonhullwhiteengine.cpp.

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Member Data Documentation

◆ exerciseTime_

Time exerciseTime_
private

Definition at line 104 of file mchestonhullwhiteengine.hpp.

◆ payoff_

ext::shared_ptr<Payoff> payoff_
private

Definition at line 105 of file mchestonhullwhiteengine.hpp.

◆ process_

ext::shared_ptr<HybridHestonHullWhiteProcess> process_
private

Definition at line 106 of file mchestonhullwhiteengine.hpp.