Class GeometricAPOPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- GeometricAPOPathPricer

Implements

UnaryFunction<Path, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new GeometricAPOPathPricer(type: Type, strike: Real, discount: DiscountFactor, runningProduct?: Real, pastFixings?: Size): GeometricAPOPathPricer

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:77
Parameters
- type: Type
- strike: Real
- discount: DiscountFactor
- Default value runningProduct: Real = 1
- Default value pastFixings: Size = 0
Returns GeometricAPOPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _pastFixings

_pastFixings: Size

Private _payoff

_payoff: PlainVanillaPayoff

Private _runningProduct

_runningProduct: Real

Methods

f

f(path: Path): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:92
Parameters
- path: Path
Returns Real