ArithmeticAPOPathPricer Class Reference

#include <mc_discr_arith_av_price.hpp>

Inheritance diagram for ArithmeticAPOPathPricer:

Collaboration diagram for ArithmeticAPOPathPricer:

Public Member Functions
	ArithmeticAPOPathPricer (Option::Type type, Real strike, DiscountFactor discount, Real runningSum=0.0, Size pastFixings=0)
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
PlainVanillaPayoff	payoff_
DiscountFactor	discount_
Real	runningSum_
Size	pastFixings_

Additional Inherited Members
Public Types inherited from PathPricer< Path >
typedef Real	result_type

Detailed Description

Definition at line 84 of file mc_discr_arith_av_price.hpp.

Constructor & Destructor Documentation

ArithmeticAPOPathPricer()

ArithmeticAPOPathPricer	(	Option::Type	type,
		Real	strike,
		DiscountFactor	discount,
		Real	runningSum = 0.0,
		Size	pastFixings = 0
	)

Definition at line 26 of file mc_discr_arith_av_price.cpp.

Member Function Documentation

operator()()

Real operator() ( const Path &  path ) const

overridevirtual

Implements PathPricer< Path >.

Definition at line 36 of file mc_discr_arith_av_price.cpp.

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Member Data Documentation

payoff_

PlainVanillaPayoff payoff_

private

Definition at line 94 of file mc_discr_arith_av_price.hpp.

discount_

DiscountFactor discount_

private

Definition at line 95 of file mc_discr_arith_av_price.hpp.

runningSum_

Real runningSum_

private

Definition at line 96 of file mc_discr_arith_av_price.hpp.

pastFixings_

Size pastFixings_

private

Definition at line 97 of file mc_discr_arith_av_price.hpp.