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
VariancePathPricer Class Reference

#include <mcvarianceswapengine.hpp>

+ Inheritance diagram for VariancePathPricer:
+ Collaboration diagram for VariancePathPricer:

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< GeneralizedBlackScholesProcessprocess_
 

Additional Inherited Members

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

Detailed Description

Definition at line 154 of file mcvarianceswapengine.hpp.

Constructor & Destructor Documentation

◆ VariancePathPricer()

VariancePathPricer ( ext::shared_ptr< GeneralizedBlackScholesProcess process)

Definition at line 156 of file mcvarianceswapengine.hpp.

Member Function Documentation

◆ operator()()

Real operator() ( const Path path) const
overridevirtual

Implements PathPricer< Path >.

Definition at line 331 of file mcvarianceswapengine.hpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 161 of file mcvarianceswapengine.hpp.