QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | List of all members
EarlyExercisePathPricer< PathType, TimeType, ValueType > Class Template Referenceabstract

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< ext::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

◆ state()

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

◆ basisSystem()

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