Class HimalayaMultiPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<MultiPath>
- HimalayaMultiPathPricer

Implements

UnaryFunction<MultiPath, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new HimalayaMultiPathPricer(payoff: Payoff, discount: DiscountFactor): HimalayaMultiPathPricer

- Defined in ql/experimental/exoticoptions/mchimalayaengine.ts:195
Parameters
- payoff: Payoff
- discount: DiscountFactor
Returns HimalayaMultiPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _payoff

_payoff: Payoff

Methods

f

f(multiPath: MultiPath): Real

Overrides PathPricer.f
- Defined in ql/experimental/exoticoptions/mchimalayaengine.ts:202
Parameters
- multiPath: MultiPath
Returns Real