QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
BarrierPathPricer Class Reference

#include <mcbarrierengine.hpp>

+ Inheritance diagram for BarrierPathPricer:
+ Collaboration diagram for BarrierPathPricer:

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< StochasticProcess1DdiffProcess_
 
PseudoRandom::ursg_type sequenceGen_
 
PlainVanillaPayoff payoff_
 
std::vector< DiscountFactordiscounts_
 

Additional Inherited Members

- Public Types inherited from PathPricer< Path >
typedef Real result_type
 

Detailed Description

Definition at line 140 of file mcbarrierengine.hpp.

Constructor & Destructor Documentation

◆ BarrierPathPricer()

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.

Member Function Documentation

◆ operator()()

Real operator() ( const Path path) const
overridevirtual

Implements PathPricer< Path >.

Definition at line 45 of file mcbarrierengine.cpp.

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Member Data Documentation

◆ barrierType_

Barrier::Type barrierType_
private

Definition at line 153 of file mcbarrierengine.hpp.

◆ barrier_

Real barrier_
private

Definition at line 154 of file mcbarrierengine.hpp.

◆ rebate_

Real rebate_
private

Definition at line 155 of file mcbarrierengine.hpp.

◆ diffProcess_

ext::shared_ptr<StochasticProcess1D> diffProcess_
private

Definition at line 156 of file mcbarrierengine.hpp.

◆ sequenceGen_

PseudoRandom::ursg_type sequenceGen_
private

Definition at line 157 of file mcbarrierengine.hpp.

◆ payoff_

PlainVanillaPayoff payoff_
private

Definition at line 158 of file mcbarrierengine.hpp.

◆ discounts_

std::vector<DiscountFactor> discounts_
private

Definition at line 159 of file mcbarrierengine.hpp.