QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
Integrand Class Reference

#include <mcvarianceswapengine.hpp>

+ Collaboration diagram for Integrand:

Public Member Functions

 Integrand (Path path, ext::shared_ptr< GeneralizedBlackScholesProcess > process)
 
Real operator() (Time t) const
 

Private Attributes

Path path_
 
ext::shared_ptr< GeneralizedBlackScholesProcessprocess_
 

Detailed Description

Definition at line 314 of file mcvarianceswapengine.hpp.

Constructor & Destructor Documentation

◆ Integrand()

Integrand ( Path  path,
ext::shared_ptr< GeneralizedBlackScholesProcess process 
)

Definition at line 316 of file mcvarianceswapengine.hpp.

Member Function Documentation

◆ operator()()

Real operator() ( Time  t) const

Definition at line 318 of file mcvarianceswapengine.hpp.

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Member Data Documentation

◆ path_

Path path_
private

Definition at line 324 of file mcvarianceswapengine.hpp.

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 325 of file mcvarianceswapengine.hpp.