#include <ql/pricingengines/forward/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< GeneralizedBlackScholesProcess > | process_ |
Additional Inherited Members | |
| Public Types inherited from PathPricer< Path > | |
| typedef Real | result_type |
| Public Attributes inherited from PathPricer< Path > | |
| QL_DEPRECATED typedef Path | argument_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()()
Implements PathPricer< Path >.
Definition at line 331 of file mcvarianceswapengine.hpp.
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Member Data Documentation
◆ process_
|
private |
Definition at line 161 of file mcvarianceswapengine.hpp.