QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <mceverestengine.hpp>
Public Member Functions | |
EverestMultiPathPricer (Real notional, Rate guarantee, 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 | |
Real | notional_ |
Rate | guarantee_ |
DiscountFactor | discount_ |
Additional Inherited Members | |
Public Types inherited from PathPricer< MultiPath > | |
typedef Real | result_type |
Definition at line 126 of file mceverestengine.hpp.
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explicit |
Definition at line 24 of file mceverestengine.cpp.
Implements PathPricer< MultiPath >.
Definition at line 29 of file mceverestengine.cpp.
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private |
Definition at line 134 of file mceverestengine.hpp.
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private |
Definition at line 135 of file mceverestengine.hpp.
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private |
Definition at line 136 of file mceverestengine.hpp.