QuantLib_EarlyExercisePathPricer man page

EarlyExercisePathPricer< PathType, TimeType, ValueType > — 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 pricers

Returns the value of an option on a given path and given time.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages basisSystem(3), state(3) and StateType(3) are aliases of QuantLib_EarlyExercisePathPricer(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib