PerformanceOptionPathPricer Class Reference

#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()()

Real operator() ( const Path &  path ) const

overridevirtual

Implements PathPricer< Path >.

Definition at line 30 of file mcperformanceengine.cpp.

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Member Data Documentation

strike_

Real strike_

private

Definition at line 115 of file mcperformanceengine.hpp.

type_

Option::Type type_

private

Definition at line 116 of file mcperformanceengine.hpp.

discounts_

std::vector<DiscountFactor> discounts_

private

Definition at line 117 of file mcperformanceengine.hpp.