EarlyExercisePathPricer< PathType, TimeType, ValueType > Class Template Reference

base class for early exercise path pricers More...

#include <earlyexercisepathpricer.hpp>

Inheritance diagram for EarlyExercisePathPricer< PathType, TimeType, ValueType >:

Collaboration diagram for EarlyExercisePathPricer< PathType, TimeType, ValueType >:

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< std::function< ValueType(StateType)> >	basisSystem () const =0

Detailed Description

template<class PathType, class TimeType = Size, class ValueType = Real>
class QuantLib::EarlyExercisePathPricer< PathType, TimeType, ValueType >

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.

Member Typedef Documentation

StateType

typedef EarlyExerciseTraits<PathType>::StateType StateType

Definition at line 66 of file earlyexercisepathpricer.hpp.

Constructor & Destructor Documentation

~EarlyExercisePathPricer()

virtual ~EarlyExercisePathPricer ( )

virtualdefault

Member Function Documentation

operator()()

virtual ValueType operator() ( const PathType &  path, TimeType  t  ) const

pure virtual

Implemented in AmericanBasketPathPricer, and AmericanPathPricer.

state()

virtual StateType state ( const PathType &  path, TimeType  t  ) const

pure virtual

Implemented in AmericanBasketPathPricer, and AmericanPathPricer.

basisSystem()

virtual std::vector< std::function< ValueType(StateType)> > basisSystem ( ) const

pure virtual

Implemented in AmericanBasketPathPricer, and AmericanPathPricer.