PathPricer Class Template Reference
[Monte Carlo framework]
base class for path pricers
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#include <ql/methods/montecarlo/pathpricer.hpp>
Inherits std::unary_function< PathType, ValueType >.
Inherited by ArithmeticAPOPathPricer, ArithmeticASOPathPricer, BarrierPathPricer, BiasedBarrierPathPricer, HullWhiteCapFloorPricer, DigitalPathPricer, EuropeanGJRGARCHPathPricer, EuropeanHestonPathPricer, EuropeanMultiPathPricer, EuropeanPathMultiPathPricer, EuropeanPathPricer, EverestMultiPathPricer, GeometricAPOPathPricer, HestonHullWhitePathPricer, HimalayaMultiPathPricer, PagodaMultiPathPricer, PerformanceOptionPathPricer, and VariancePathPricer.
Public Member Functions | |
virtual ValueType | operator() (const PathType &path) const =0 |
Detailed Description
template<class PathType, class ValueType = Real>
class QuantLib::PathPricer< PathType, ValueType >
base class for path pricers
Returns the value of an option on a given path.
- Examples: