Class BarrierPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- BarrierPathPricer

Implements

UnaryFunction<Path, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new BarrierPathPricer(barrierType: Type, barrier: Real, rebate: Real, type: Type, strike: Real, discounts: DiscountFactor[], diffProcess: StochasticProcess1D, sequenceGen: ursg_type): BarrierPathPricer

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:285
Parameters
- barrierType: Type
- barrier: Real
- rebate: Real
- type: Type
- strike: Real
- discounts: DiscountFactor[]
- diffProcess: StochasticProcess1D
- sequenceGen: ursg_type
Returns BarrierPathPricer

Properties

Private _barrier

_barrier: Real

Private _barrierType

_barrierType: Type

Private _diffProcess

_diffProcess: StochasticProcess1D

Private _discounts

_discounts: DiscountFactor[]

Private _payoff

_payoff: PlainVanillaPayoff

Private _rebate

_rebate: Real

Private _sequenceGen

_sequenceGen: ursg_type

Methods

f

f(path: Path): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:307
Parameters
- path: Path
Returns Real