QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <mcvarianceswapengine.hpp>
Public Member Functions | |
VariancePathPricer (ext::shared_ptr< GeneralizedBlackScholesProcess > process) | |
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 | |
ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Additional Inherited Members | |
Public Types inherited from PathPricer< Path > | |
typedef Real | result_type |
Definition at line 154 of file mcvarianceswapengine.hpp.
VariancePathPricer | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process | ) |
Definition at line 156 of file mcvarianceswapengine.hpp.
Implements PathPricer< Path >.
Definition at line 331 of file mcvarianceswapengine.hpp.
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private |
Definition at line 161 of file mcvarianceswapengine.hpp.