QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <mchestonhullwhiteengine.hpp>
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 |
Definition at line 95 of file mchestonhullwhiteengine.hpp.
HestonHullWhitePathPricer | ( | Time | exerciseTime, |
ext::shared_ptr< Payoff > | payoff, | ||
ext::shared_ptr< HybridHestonHullWhiteProcess > | process | ||
) |
Definition at line 29 of file mchestonhullwhiteengine.cpp.
Implements PathPricer< MultiPath >.
Definition at line 35 of file mchestonhullwhiteengine.cpp.
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private |
Definition at line 104 of file mchestonhullwhiteengine.hpp.
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private |
Definition at line 105 of file mchestonhullwhiteengine.hpp.
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private |
Definition at line 106 of file mchestonhullwhiteengine.hpp.