EarlyExercisePathPricer Class Template Reference
[Monte Carlo framework]

base class for early exercise path pricers More...

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

Inherited by AmericanBasketPathPricer, and AmericanPathPricer.

List of all members.

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.