PathPricer Class Template Reference
[Monte Carlo framework]

base class for path pricers More...

#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.

List of all members.

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:

DiscreteHedging.cpp.