ArithmeticASOPathPricer Class Reference

#include <mc_discr_arith_av_strike.hpp>

Inheritance diagram for ArithmeticASOPathPricer:

Collaboration diagram for ArithmeticASOPathPricer:

Public Member Functions
	ArithmeticASOPathPricer (Option::Type type, DiscountFactor discount, Real runningSum=0.0, 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
Option::Type	type_
DiscountFactor	discount_
Real	runningSum_
Size	pastFixings_

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

Detailed Description

Definition at line 61 of file mc_discr_arith_av_strike.hpp.

Constructor & Destructor Documentation

ArithmeticASOPathPricer()

ArithmeticASOPathPricer	(	Option::Type	type,
		DiscountFactor	discount,
		Real	runningSum = 0.0,
		Size	pastFixings = 0
	)

Definition at line 24 of file mc_discr_arith_av_strike.cpp.

Member Function Documentation

operator()()

Real operator() ( const Path &  path ) const

overridevirtual

Implements PathPricer< Path >.

Definition at line 32 of file mc_discr_arith_av_strike.cpp.

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Member Data Documentation

type_

Option::Type type_

private

Definition at line 70 of file mc_discr_arith_av_strike.hpp.

discount_

DiscountFactor discount_

private

Definition at line 71 of file mc_discr_arith_av_strike.hpp.

runningSum_

Real runningSum_

private

Definition at line 72 of file mc_discr_arith_av_strike.hpp.

pastFixings_

Size pastFixings_

private

Definition at line 73 of file mc_discr_arith_av_strike.hpp.