HullWhiteCapFloorPricer Class Reference

#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

Inheritance diagram for HullWhiteCapFloorPricer:

Collaboration diagram for HullWhiteCapFloorPricer:

Public Member Functions
	HullWhiteCapFloorPricer (const CapFloor::arguments &, ext::shared_ptr< HullWhite >, Time forwardMeasureTime)
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
CapFloor::arguments	args_
ext::shared_ptr< HullWhite >	model_
Time	forwardMeasureTime_
DiscountFactor	endDiscount_
std::vector< Time >	startTimes_
std::vector< Time >	endTimes_
std::vector< Time >	fixingTimes_

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 38 of file mchullwhiteengine.hpp.

Constructor & Destructor Documentation

HullWhiteCapFloorPricer()

HullWhiteCapFloorPricer	(	const CapFloor::arguments &	args,
		ext::shared_ptr< HullWhite >	model,
		Time	forwardMeasureTime
	)

Definition at line 28 of file mchullwhiteengine.cpp.

Here is the call graph for this function:

Member Function Documentation

operator()()

Real operator() ( const Path &  path ) const

overridevirtual

Implements PathPricer< Path >.

Definition at line 54 of file mchullwhiteengine.cpp.

Member Data Documentation

args_

CapFloor::arguments args_

private

Definition at line 46 of file mchullwhiteengine.hpp.

model_

ext::shared_ptr<HullWhite> model_

private

Definition at line 47 of file mchullwhiteengine.hpp.

forwardMeasureTime_

Time forwardMeasureTime_

private

Definition at line 48 of file mchullwhiteengine.hpp.

endDiscount_

DiscountFactor endDiscount_

private

Definition at line 49 of file mchullwhiteengine.hpp.

startTimes_

std::vector<Time> startTimes_

private

Definition at line 50 of file mchullwhiteengine.hpp.

endTimes_

std::vector<Time> endTimes_

private

Definition at line 50 of file mchullwhiteengine.hpp.

fixingTimes_

std::vector<Time> fixingTimes_

private

Definition at line 50 of file mchullwhiteengine.hpp.