PathPayoff Class Reference

Abstract base class for path-dependent option payoffs. More...

#include <pathpayoff.hpp>

Inheritance diagram for PathPayoff:

Collaboration diagram for PathPayoff:

Public Member Functions
virtual	~PathPayoff ()=default
Payoff interface
virtual std::string	name () const =0
virtual std::string	description () const =0
virtual void	value (const Matrix &path, const std::vector< Handle< YieldTermStructure > > &forwardTermStructures, Array &payments, Array &exercises, std::vector< Array > &states) const =0
virtual Size	basisSystemDimension () const =0
Visitability
virtual void	accept (AcyclicVisitor &)

Detailed Description

Abstract base class for path-dependent option payoffs.

Definition at line 36 of file pathpayoff.hpp.

Constructor & Destructor Documentation

~PathPayoff()

virtual ~PathPayoff ( )

virtualdefault

Member Function Documentation

name()

virtual std::string name ( ) const

pure virtual

Warning:

This method is used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.

description()

virtual std::string description ( ) const

pure virtual

value()

virtual void value ( const Matrix &  path, const std::vector< Handle< YieldTermStructure > > &  forwardTermStructures, Array &  payments, Array &  exercises, std::vector< Array > &  states  ) const

pure virtual

Implemented in AdaptedPathPayoff.

basisSystemDimension()

virtual Size basisSystemDimension ( ) const

pure virtual

accept()

void accept ( AcyclicVisitor &  v )

virtual

Definition at line 84 of file pathpayoff.hpp.

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