Class PagodaMultiPathPricer

Hierarchy

PagodaMultiPathPricer

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new PagodaMultiPathPricer(roof: Real, fraction: Real, discount: DiscountFactor): PagodaMultiPathPricer

- Defined in ql/experimental/exoticoptions/mcpagodaengine.ts:193
Parameters
- roof: Real
- fraction: Real
- discount: DiscountFactor
Returns PagodaMultiPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _fraction

_fraction: Real

Private _roof

_roof: Real

Methods

f

f(multiPath: MultiPath): Real

- Defined in ql/experimental/exoticoptions/mcpagodaengine.ts:200
Parameters
- multiPath: MultiPath
Returns Real