QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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base class for early exercise path pricers More...
#include <earlyexercisepathpricer.hpp>
Public Types | |
typedef EarlyExerciseTraits< PathType >::StateType | StateType |
Public Member Functions | |
virtual | ~EarlyExercisePathPricer ()=default |
virtual ValueType | operator() (const PathType &path, TimeType t) const =0 |
virtual StateType | state (const PathType &path, TimeType t) const =0 |
virtual std::vector< ext::function< ValueType(StateType)> > | basisSystem () const =0 |
base class for early exercise path pricers
Returns the value of an option on a given path and given time.
Definition at line 64 of file earlyexercisepathpricer.hpp.
typedef EarlyExerciseTraits<PathType>::StateType StateType |
Definition at line 66 of file earlyexercisepathpricer.hpp.
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virtualdefault |
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pure virtual |
Implemented in AmericanBasketPathPricer, and AmericanPathPricer.
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pure virtual |
Implemented in AmericanBasketPathPricer, and AmericanPathPricer.
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pure virtual |
Implemented in AmericanBasketPathPricer, and AmericanPathPricer.