Class EverestMultiPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<MultiPath>
- EverestMultiPathPricer

Implements

UnaryFunction<MultiPath, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new EverestMultiPathPricer(notional: Real, guarantee: Rate, discount: DiscountFactor): EverestMultiPathPricer

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:240
Parameters
- notional: Real
- guarantee: Rate
- discount: DiscountFactor
Returns EverestMultiPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _guarantee

_guarantee: Rate

Private _notional

_notional: Real

Methods

f

f(multiPath: MultiPath): Real

Overrides PathPricer.f
- Defined in ql/experimental/exoticoptions/mceverestengine.ts:248
Parameters
- multiPath: MultiPath
Returns Real