Class EarlyExercisePathPricer<PathType>

base class for early exercise path pricers

Returns the value of an option on a given path and given time.

Type parameters

PathType

Hierarchy

EarlyExercisePathPricer
- AmericanBasketPathPricer
- AmericanPathPricer

Implements

BinaryFunction<PathType, Size, Real>

Index

Methods

Methods

basisSystem

basisSystem(): Array<UnaryFunction<StateType, Real>>

- Defined in ql/methods/montecarlo/earlyexercisepathpricer.ts:44
Returns Array<UnaryFunction<StateType, Real>>

f

f(path: PathType, t: Size): Real

- Defined in ql/methods/montecarlo/earlyexercisepathpricer.ts:36
Parameters
- path: PathType
- t: Size
Returns Real

state

state(path: PathType, t: Size): StateType

- Defined in ql/methods/montecarlo/earlyexercisepathpricer.ts:40
Parameters
- path: PathType
- t: Size
Returns StateType