DigitalPathPricer Class Reference

#include <mcdigitalengine.hpp>

Inheritance diagram for DigitalPathPricer:

Collaboration diagram for DigitalPathPricer:

Public Member Functions
	DigitalPathPricer (ext::shared_ptr< CashOrNothingPayoff > payoff, ext::shared_ptr< AmericanExercise > exercise, Handle< YieldTermStructure > discountTS, ext::shared_ptr< StochasticProcess1D > diffProcess, PseudoRandom::ursg_type sequenceGen)
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
ext::shared_ptr< CashOrNothingPayoff >	payoff_
ext::shared_ptr< AmericanExercise >	exercise_
ext::shared_ptr< StochasticProcess1D >	diffProcess_
PseudoRandom::ursg_type	sequenceGen_
Handle< YieldTermStructure >	discountTS_

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

Detailed Description

Definition at line 112 of file mcdigitalengine.hpp.

Constructor & Destructor Documentation

DigitalPathPricer()

DigitalPathPricer	(	ext::shared_ptr< CashOrNothingPayoff >	payoff,
		ext::shared_ptr< AmericanExercise >	exercise,
		Handle< YieldTermStructure >	discountTS,
		ext::shared_ptr< StochasticProcess1D >	diffProcess,
		PseudoRandom::ursg_type	sequenceGen
	)

Definition at line 27 of file mcdigitalengine.cpp.

Member Function Documentation

operator()()

Real operator() ( const Path &  path ) const

overridevirtual

Implements PathPricer< Path >.

Definition at line 36 of file mcdigitalengine.cpp.

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Member Data Documentation

payoff_

ext::shared_ptr<CashOrNothingPayoff> payoff_

private

Definition at line 122 of file mcdigitalengine.hpp.

exercise_

ext::shared_ptr<AmericanExercise> exercise_

private

Definition at line 123 of file mcdigitalengine.hpp.

diffProcess_

ext::shared_ptr<StochasticProcess1D> diffProcess_

private

Definition at line 124 of file mcdigitalengine.hpp.

sequenceGen_

PseudoRandom::ursg_type sequenceGen_

private

Definition at line 125 of file mcdigitalengine.hpp.

discountTS_

Handle<YieldTermStructure> discountTS_

private

Definition at line 126 of file mcdigitalengine.hpp.