QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <mcdoublebarrierengine.hpp>
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< DiscountFactor > | discounts_ |
Additional Inherited Members | |
Public Types inherited from PathPricer< Path > | |
typedef Real | result_type |
Definition at line 112 of file mcdoublebarrierengine.hpp.
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.
Implements PathPricer< Path >.
Definition at line 42 of file mcdoublebarrierengine.cpp.
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private |
Definition at line 124 of file mcdoublebarrierengine.hpp.
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private |
Definition at line 125 of file mcdoublebarrierengine.hpp.
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private |
Definition at line 126 of file mcdoublebarrierengine.hpp.
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private |
Definition at line 127 of file mcdoublebarrierengine.hpp.
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private |
Definition at line 128 of file mcdoublebarrierengine.hpp.
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private |
Definition at line 129 of file mcdoublebarrierengine.hpp.