HestonHullWhitePathPricer Class Reference

#include <ql/pricingengines/vanilla/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< Payoff >	payoff_
ext::shared_ptr< HybridHestonHullWhiteProcess >	process_

Additional Inherited Members
Public Types inherited from PathPricer< MultiPath >
typedef Real	result_type
Public Attributes inherited from PathPricer< MultiPath >
QL_DEPRECATED typedef MultiPath	argument_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.