QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
EuropeanPathMultiPathPricer Class Reference

#include <ql/experimental/mcbasket/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< PathPayoffpayoff_
 
std::vector< SizetimePositions_
 
std::vector< Handle< YieldTermStructure > > forwardTermStructures_
 
Array discounts_
 

Additional Inherited Members

- Public Types inherited from PathPricer< MultiPath >
typedef Real result_type
 
- Public Attributes inherited from PathPricer< MultiPath >
QL_DEPRECATED typedef MultiPath argument_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()()

Real operator() ( const MultiPath multiPath) const
overridevirtual

Implements PathPricer< MultiPath >.

Definition at line 33 of file mcpathbasketengine.cpp.

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Member Data Documentation

◆ payoff_

ext::shared_ptr<PathPayoff> payoff_
private

Definition at line 100 of file mcpathbasketengine.hpp.

◆ timePositions_

std::vector<Size> timePositions_
private

Definition at line 101 of file mcpathbasketengine.hpp.

◆ forwardTermStructures_

std::vector<Handle<YieldTermStructure> > forwardTermStructures_
private

Definition at line 102 of file mcpathbasketengine.hpp.

◆ discounts_

Array discounts_
private

Definition at line 103 of file mcpathbasketengine.hpp.