QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <mcbarrierengine.hpp>
Public Member Functions | |
BarrierPathPricer (Barrier::Type barrierType, Real barrier, Real rebate, Option::Type type, Real strike, std::vector< DiscountFactor > discounts, ext::shared_ptr< StochasticProcess1D > diffProcess, PseudoRandom::ursg_type sequenceGen) | |
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 | |
Barrier::Type | barrierType_ |
Real | barrier_ |
Real | rebate_ |
ext::shared_ptr< StochasticProcess1D > | diffProcess_ |
PseudoRandom::ursg_type | sequenceGen_ |
PlainVanillaPayoff | payoff_ |
std::vector< DiscountFactor > | discounts_ |
Additional Inherited Members | |
Public Types inherited from PathPricer< Path > | |
typedef Real | result_type |
Definition at line 140 of file mcbarrierengine.hpp.
BarrierPathPricer | ( | Barrier::Type | barrierType, |
Real | barrier, | ||
Real | rebate, | ||
Option::Type | type, | ||
Real | strike, | ||
std::vector< DiscountFactor > | discounts, | ||
ext::shared_ptr< StochasticProcess1D > | diffProcess, | ||
PseudoRandom::ursg_type | sequenceGen | ||
) |
Definition at line 27 of file mcbarrierengine.cpp.
Implements PathPricer< Path >.
Definition at line 45 of file mcbarrierengine.cpp.
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Definition at line 153 of file mcbarrierengine.hpp.
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Definition at line 154 of file mcbarrierengine.hpp.
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Definition at line 155 of file mcbarrierengine.hpp.
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Definition at line 156 of file mcbarrierengine.hpp.
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Definition at line 157 of file mcbarrierengine.hpp.
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Definition at line 158 of file mcbarrierengine.hpp.
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Definition at line 159 of file mcbarrierengine.hpp.