Rechercher une page de manuel
QuantLib_EarlyExercisePathPricer
Langue: en
Version: 380565 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::EarlyExercisePathPricer -base class for early exercise path pricers
SYNOPSIS
#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>
Public Types
typedef EarlyExerciseTraits< PathType >::StateType StateType
Public Member Functions
virtual ValueType operator() (const PathType &path, TimeType t) const =0
virtual StateType state (const PathType &path, TimeType t) const =0
virtual std::vector< boost::function1< ValueType, StateType > > basisSystem () const =0
Detailed Description
template<class PathType, class TimeType = Size, class ValueType = Real> class QuantLib::EarlyExercisePathPricer< PathType, TimeType, ValueType >
base class for early exercise path pricersReturns the value of an option on a given path and given time.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre