Class ArithmeticAPOPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- ArithmeticAPOPathPricer

Implements

UnaryFunction<Path, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new ArithmeticAPOPathPricer(type: Type, strike: Real, discount: DiscountFactor, runningSum?: Real, pastFixings?: Size): ArithmeticAPOPathPricer

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:117
Parameters
- type: Type
- strike: Real
- discount: DiscountFactor
- Default value runningSum: Real = 1
- Default value pastFixings: Size = 0
Returns ArithmeticAPOPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _pastFixings

_pastFixings: Size

Private _payoff

_payoff: PlainVanillaPayoff

Private _runningSum

_runningSum: Real

Methods

f

f(path: Path): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:132
Parameters
- path: Path
Returns Real