#include <mcpathbasketengine.hpp>
Inheritance diagram for EuropeanPathMultiPathPricer:
Collaboration diagram for EuropeanPathMultiPathPricer:
Public Member Functions | |
| EuropeanPathMultiPathPricer (ext::shared_ptr< PathPayoff > &payoff, std::vector< Size > timePositions, std::vector< Handle< YieldTermStructure > > forwardTermStructures, Array discounts) | |
| 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 | |
| ext::shared_ptr< PathPayoff > | payoff_ |
| std::vector< Size > | timePositions_ |
| std::vector< Handle< YieldTermStructure > > | forwardTermStructures_ |
| Array | discounts_ |
Additional Inherited Members | |
| Public Types inherited from PathPricer< MultiPath > | |
| typedef Real | result_type |
Detailed Description
Definition at line 91 of file mcpathbasketengine.hpp.
Constructor & Destructor Documentation
◆ EuropeanPathMultiPathPricer()
| EuropeanPathMultiPathPricer | ( | ext::shared_ptr< PathPayoff > & | payoff, |
| std::vector< Size > | timePositions, | ||
| std::vector< Handle< YieldTermStructure > > | forwardTermStructures, | ||
| Array | discounts | ||
| ) |
Definition at line 25 of file mcpathbasketengine.cpp.
Member Function Documentation
◆ operator()()
Implements PathPricer< MultiPath >.
Definition at line 33 of file mcpathbasketengine.cpp.
Here is the call graph for this function:
Member Data Documentation
◆ payoff_
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private |
Definition at line 100 of file mcpathbasketengine.hpp.
◆ timePositions_
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private |
Definition at line 101 of file mcpathbasketengine.hpp.
◆ forwardTermStructures_
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private |
Definition at line 102 of file mcpathbasketengine.hpp.
◆ discounts_
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private |
Definition at line 103 of file mcpathbasketengine.hpp.