QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
DoubleBarrierPathPricer Class Reference

#include <mcdoublebarrierengine.hpp>

+ Inheritance diagram for DoubleBarrierPathPricer:
+ Collaboration diagram for DoubleBarrierPathPricer:

Public Member Functions

 DoubleBarrierPathPricer (DoubleBarrier::Type barrierType, Real barrierLow, Real barrieHigh, Real rebate, Option::Type type, Real strike, std::vector< DiscountFactor > discounts)
 
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

DoubleBarrier::Type barrierType_
 
Real barrierLow_
 
Real barrierHigh_
 
Real rebate_
 
PlainVanillaPayoff payoff_
 
std::vector< DiscountFactordiscounts_
 

Additional Inherited Members

- Public Types inherited from PathPricer< Path >
typedef Real result_type
 

Detailed Description

Definition at line 112 of file mcdoublebarrierengine.hpp.

Constructor & Destructor Documentation

◆ DoubleBarrierPathPricer()

DoubleBarrierPathPricer ( DoubleBarrier::Type  barrierType,
Real  barrierLow,
Real  barrieHigh,
Real  rebate,
Option::Type  type,
Real  strike,
std::vector< DiscountFactor discounts 
)

Definition at line 25 of file mcdoublebarrierengine.cpp.

Member Function Documentation

◆ operator()()

Real operator() ( const Path path) const
overridevirtual

Implements PathPricer< Path >.

Definition at line 42 of file mcdoublebarrierengine.cpp.

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Member Data Documentation

◆ barrierType_

DoubleBarrier::Type barrierType_
private

Definition at line 124 of file mcdoublebarrierengine.hpp.

◆ barrierLow_

Real barrierLow_
private

Definition at line 125 of file mcdoublebarrierengine.hpp.

◆ barrierHigh_

Real barrierHigh_
private

Definition at line 126 of file mcdoublebarrierengine.hpp.

◆ rebate_

Real rebate_
private

Definition at line 127 of file mcdoublebarrierengine.hpp.

◆ payoff_

PlainVanillaPayoff payoff_
private

Definition at line 128 of file mcdoublebarrierengine.hpp.

◆ discounts_

std::vector<DiscountFactor> discounts_
private

Definition at line 129 of file mcdoublebarrierengine.hpp.