ArithmeticAPOHestonPathPricer Class Reference

#include <ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp>

Inheritance diagram for ArithmeticAPOHestonPathPricer:

Collaboration diagram for ArithmeticAPOHestonPathPricer:

Public Member Functions
	ArithmeticAPOHestonPathPricer (Option::Type type, Real strike, DiscountFactor discount, std::vector< Size > fixingIndices, Real runningSum=0.0, Size pastFixings=0)
Real	operator() (const MultiPath &multiPath) const override
Public Member Functions inherited from PathPricer< MultiPath >
virtual	~PathPricer ()=default
virtual Real	operator() (const MultiPath &path) const=0

Private Attributes
PlainVanillaPayoff	payoff_
DiscountFactor	discount_
std::vector< Size >	fixingIndices_
Real	runningSum_
Size	pastFixings_

Additional Inherited Members
Public Types inherited from PathPricer< MultiPath >
typedef Real	result_type
Public Attributes inherited from PathPricer< MultiPath >
QL_DEPRECATED typedef MultiPath	argument_type

Detailed Description

Definition at line 108 of file mc_discr_arith_av_price_heston.hpp.

Constructor & Destructor Documentation

ArithmeticAPOHestonPathPricer()

ArithmeticAPOHestonPathPricer	(	Option::Type	type,
		Real	strike,
		DiscountFactor	discount,
		std::vector< Size >	fixingIndices,
		Real	runningSum = 0.0,
		Size	pastFixings = 0
	)

Definition at line 23 of file mc_discr_arith_av_price_heston.cpp.

Member Function Documentation

operator()()

Real operator() ( const MultiPath &  multiPath ) const

overridevirtual

Implements PathPricer< MultiPath >.

Definition at line 35 of file mc_discr_arith_av_price_heston.cpp.

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Member Data Documentation

payoff_

PlainVanillaPayoff payoff_

private

Definition at line 119 of file mc_discr_arith_av_price_heston.hpp.

discount_

DiscountFactor discount_

private

Definition at line 120 of file mc_discr_arith_av_price_heston.hpp.

fixingIndices_

std::vector<Size> fixingIndices_

private

Definition at line 121 of file mc_discr_arith_av_price_heston.hpp.

runningSum_

Real runningSum_

private

Definition at line 122 of file mc_discr_arith_av_price_heston.hpp.

pastFixings_

Size pastFixings_

private

Definition at line 123 of file mc_discr_arith_av_price_heston.hpp.