#include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp>
Inheritance diagram for GeometricAPOPathPricer:
Collaboration diagram for GeometricAPOPathPricer:
Public Member Functions | |
| GeometricAPOPathPricer (Option::Type type, Real strike, DiscountFactor discount, Real runningProduct=1.0, 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 | runningProduct_ |
| Size | pastFixings_ |
Additional Inherited Members | |
| Public Types inherited from PathPricer< Path > | |
| typedef Real | result_type |
| Public Attributes inherited from PathPricer< Path > | |
| QL_DEPRECATED typedef Path | argument_type |
Detailed Description
Definition at line 70 of file mc_discr_geom_av_price.hpp.
Constructor & Destructor Documentation
◆ GeometricAPOPathPricer()
| GeometricAPOPathPricer | ( | Option::Type | type, |
| Real | strike, | ||
| DiscountFactor | discount, | ||
| Real | runningProduct = 1.0, |
||
| Size | pastFixings = 0 |
||
| ) |
Definition at line 25 of file mc_discr_geom_av_price.cpp.
Member Function Documentation
◆ operator()()
Implements PathPricer< Path >.
Definition at line 34 of file mc_discr_geom_av_price.cpp.
Here is the call graph for this function:
Member Data Documentation
◆ payoff_
|
private |
Definition at line 80 of file mc_discr_geom_av_price.hpp.
◆ discount_
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private |
Definition at line 81 of file mc_discr_geom_av_price.hpp.
◆ runningProduct_
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private |
Definition at line 82 of file mc_discr_geom_av_price.hpp.
◆ pastFixings_
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private |
Definition at line 83 of file mc_discr_geom_av_price.hpp.