ForwardEuropeanHestonPathPricer Class Reference

#include <mcforwardeuropeanhestonengine.hpp>

Inheritance diagram for ForwardEuropeanHestonPathPricer:

Collaboration diagram for ForwardEuropeanHestonPathPricer:

Public Member Functions
	ForwardEuropeanHestonPathPricer (Option::Type type, Real moneyness, Size resetIndex, 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
Option::Type	type_
Real	moneyness_
Size	resetIndex_
DiscountFactor	discount_

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

Detailed Description

Definition at line 112 of file mcforwardeuropeanhestonengine.hpp.

Constructor & Destructor Documentation

ForwardEuropeanHestonPathPricer()

ForwardEuropeanHestonPathPricer	(	Option::Type	type,
		Real	moneyness,
		Size	resetIndex,
		DiscountFactor	discount
	)

Definition at line 20 of file mcforwardeuropeanhestonengine.cpp.

Member Function Documentation

operator()()

Real operator() ( const MultiPath &  multiPath ) const

overridevirtual

Implements PathPricer< MultiPath >.

Definition at line 32 of file mcforwardeuropeanhestonengine.cpp.

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Member Data Documentation

type_

Option::Type type_

private

Definition at line 121 of file mcforwardeuropeanhestonengine.hpp.

moneyness_

Real moneyness_

private

Definition at line 122 of file mcforwardeuropeanhestonengine.hpp.

resetIndex_

Size resetIndex_

private

Definition at line 123 of file mcforwardeuropeanhestonengine.hpp.

discount_

DiscountFactor discount_

private

Definition at line 124 of file mcforwardeuropeanhestonengine.hpp.