#include <mcperformanceengine.hpp>
Inheritance diagram for PerformanceOptionPathPricer:
Collaboration diagram for PerformanceOptionPathPricer:
Public Member Functions | |
| PerformanceOptionPathPricer (Option::Type type, Real strike, std::vector< DiscountFactor > discounts) | |
| Real | operator() (const Path &path) const override |
| Public Member Functions inherited from PathPricer< Path > | |
| virtual | ~PathPricer ()=default |
| virtual Real | operator() (const Path &path) const=0 |
Private Attributes | |
| Real | strike_ |
| Option::Type | type_ |
| std::vector< DiscountFactor > | discounts_ |
Additional Inherited Members | |
| Public Types inherited from PathPricer< Path > | |
| typedef Real | result_type |
Detailed Description
Definition at line 107 of file mcperformanceengine.hpp.
Constructor & Destructor Documentation
◆ PerformanceOptionPathPricer()
| PerformanceOptionPathPricer | ( | Option::Type | type, |
| Real | strike, | ||
| std::vector< DiscountFactor > | discounts | ||
| ) |
Definition at line 25 of file mcperformanceengine.cpp.
Member Function Documentation
◆ operator()()
Implements PathPricer< Path >.
Definition at line 30 of file mcperformanceengine.cpp.
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Member Data Documentation
◆ strike_
|
private |
Definition at line 115 of file mcperformanceengine.hpp.
◆ type_
|
private |
Definition at line 116 of file mcperformanceengine.hpp.
◆ discounts_
|
private |
Definition at line 117 of file mcperformanceengine.hpp.