24#include <ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp>
31 ext::shared_ptr<Payoff> payoff,
32 ext::shared_ptr<HybridHestonHullWhiteProcess> process)
33 : exerciseTime_(exerciseTime), payoff_(
std::move(payoff)), process_(
std::move(process)) {}
36 QL_REQUIRE(path.
pathSize() > 0,
"the path cannot be empty");
39 for (
Size j=0; j < states.
size(); ++j) {
40 states[j] = path[j][path.
pathSize()-1];
45 return (*
payoff_)(states[0])*df;
1-D array used in linear algebra.
Size size() const
dimension of the array
HestonHullWhitePathPricer(Time exerciseTime, ext::shared_ptr< Payoff > payoff, ext::shared_ptr< HybridHestonHullWhiteProcess > process)
ext::shared_ptr< Payoff > payoff_
Real operator()(const MultiPath &path) const override
ext::shared_ptr< HybridHestonHullWhiteProcess > process_
Correlated multiple asset paths.
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
std::size_t Size
size of a container