QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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pathpricer.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file pathpricer.hpp
22 \brief base class for single-path pricers
23*/
24
25#ifndef quantlib_montecarlo_path_pricer_hpp
26#define quantlib_montecarlo_path_pricer_hpp
27
28#include <ql/option.hpp>
29#include <ql/types.hpp>
30#include <functional>
31
32namespace QuantLib {
33
34 //! base class for path pricers
35 /*! Returns the value of an option on a given path.
36
37 \ingroup mcarlo
38 */
39 template<class PathType, class ValueType=Real>
40 class PathPricer {
41 public:
42 typedef ValueType result_type;
43
44 virtual ~PathPricer() = default;
45 virtual ValueType operator()(const PathType& path) const=0;
46 };
47
48}
49
50
51#endif
base class for path pricers
Definition: pathpricer.hpp:40
virtual ~PathPricer()=default
virtual ValueType operator()(const PathType &path) const =0
Definition: any.hpp:35
Base option class.
Custom types.