AmericanBasketPathPricer Class Reference

#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

Inheritance diagram for AmericanBasketPathPricer:

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Public Member Functions
	AmericanBasketPathPricer (Size assetNumber, ext::shared_ptr< Payoff > payoff, Size polynomialOrder=2, LsmBasisSystem::PolynomialType polynomialType=LsmBasisSystem::Monomial)
Array	state (const MultiPath &path, Size t) const override
Real	operator() (const MultiPath &path, Size t) const override
std::vector< ext::function< Real(Array)> >	basisSystem () const override
Public Member Functions inherited from EarlyExercisePathPricer< MultiPath >
virtual	~EarlyExercisePathPricer ()=default
virtual Real	operator() (const MultiPath &path, Size t) const=0
virtual StateType	state (const MultiPath &path, Size t) const=0
virtual std::vector< ext::function< Real(StateType)> >	basisSystem () const=0

Protected Member Functions
Real	payoff (const Array &state) const

Protected Attributes
const Size	assetNumber_
const ext::shared_ptr< Payoff >	payoff_
Real	scalingValue_ = 1.0
std::vector< ext::function< Real(Array)> >	v_

Additional Inherited Members
Public Types inherited from EarlyExercisePathPricer< MultiPath >
typedef EarlyExerciseTraits< MultiPath >::StateType	StateType

Detailed Description

Definition at line 104 of file mcamericanbasketengine.hpp.

Constructor & Destructor Documentation

AmericanBasketPathPricer()

AmericanBasketPathPricer	(	Size	assetNumber,
		ext::shared_ptr< Payoff >	payoff,
		Size	polynomialOrder = 2,
		LsmBasisSystem::PolynomialType	polynomialType = LsmBasisSystem::Monomial
	)

Definition at line 27 of file mcamericanbasketengine.cpp.

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Member Function Documentation

state()

Array state ( const MultiPath &  path, Size  t  ) const

overridevirtual

Implements EarlyExercisePathPricer< MultiPath >.

Definition at line 55 of file mcamericanbasketengine.cpp.

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operator()()

Real operator() ( const MultiPath &  path, Size  t  ) const

overridevirtual

Implements EarlyExercisePathPricer< MultiPath >.

Definition at line 76 of file mcamericanbasketengine.cpp.

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basisSystem()

std::vector< ext::function< Real(Array)> > basisSystem ( ) const

overridevirtual

Implements EarlyExercisePathPricer< MultiPath >.

Definition at line 82 of file mcamericanbasketengine.cpp.

payoff()

Real payoff ( const Array &  state ) const

protected

Definition at line 67 of file mcamericanbasketengine.cpp.

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Member Data Documentation

assetNumber_

const Size assetNumber_

protected

Definition at line 121 of file mcamericanbasketengine.hpp.

payoff_

const ext::shared_ptr<Payoff> payoff_

protected

Definition at line 122 of file mcamericanbasketengine.hpp.

scalingValue_

Real scalingValue_ = 1.0

protected

Definition at line 124 of file mcamericanbasketengine.hpp.

v_

std::vector<ext::function<Real(Array)> > v_

protected

Definition at line 125 of file mcamericanbasketengine.hpp.