EarlyExercisePathPricer Class Template Reference
[Monte Carlo framework]

#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>

List of all members.


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.


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