QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>
Public Member Functions | |
EuropeanHestonPathPricer (Option::Type type, Real strike, DiscountFactor discount) | |
Real | operator() (const MultiPath &Multipath) const override |
Public Member Functions inherited from PathPricer< MultiPath > | |
virtual | ~PathPricer ()=default |
virtual Real | operator() (const MultiPath &path) const=0 |
Private Attributes | |
PlainVanillaPayoff | payoff_ |
DiscountFactor | discount_ |
Additional Inherited Members | |
Public Types inherited from PathPricer< MultiPath > | |
typedef Real | result_type |
Public Attributes inherited from PathPricer< MultiPath > | |
QL_DEPRECATED typedef MultiPath | argument_type |
Definition at line 84 of file mceuropeanhestonengine.hpp.
EuropeanHestonPathPricer | ( | Option::Type | type, |
Real | strike, | ||
DiscountFactor | discount | ||
) |
Definition at line 219 of file mceuropeanhestonengine.hpp.
Implements PathPricer< MultiPath >.
Definition at line 228 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 92 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 93 of file mceuropeanhestonengine.hpp.