EuropeanGJRGARCHPathPricer Class Reference

#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>

Inheritance diagram for EuropeanGJRGARCHPathPricer:

Collaboration diagram for EuropeanGJRGARCHPathPricer:

Public Member Functions
	EuropeanGJRGARCHPathPricer (Option::Type type, Real strike, DiscountFactor discount)
Real	operator() (const MultiPath &Multipath) const override
Public Member Functions inherited from PathPricer< MultiPath >
virtual	~PathPricer ()=default
virtual Real	operator() (const MultiPath &path) const=0

Private Attributes
PlainVanillaPayoff	payoff_
DiscountFactor	discount_

Additional Inherited Members
Public Types inherited from PathPricer< MultiPath >
typedef Real	result_type
Public Attributes inherited from PathPricer< MultiPath >
QL_DEPRECATED typedef MultiPath	argument_type

Detailed Description

Definition at line 81 of file mceuropeangjrgarchengine.hpp.

Constructor & Destructor Documentation

EuropeanGJRGARCHPathPricer()

EuropeanGJRGARCHPathPricer	(	Option::Type	type,
		Real	strike,
		DiscountFactor	discount
	)

Definition at line 216 of file mceuropeangjrgarchengine.hpp.

Member Function Documentation

operator()()

Real operator() ( const MultiPath &  Multipath ) const

overridevirtual

Implements PathPricer< MultiPath >.

Definition at line 225 of file mceuropeangjrgarchengine.hpp.

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Member Data Documentation

payoff_

PlainVanillaPayoff payoff_

private

Definition at line 89 of file mceuropeangjrgarchengine.hpp.

discount_

DiscountFactor discount_

private

Definition at line 90 of file mceuropeangjrgarchengine.hpp.