Class BiasedBarrierPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- BiasedBarrierPathPricer

Implements

UnaryFunction<Path, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new BiasedBarrierPathPricer(barrierType: Type, barrier: Real, rebate: Real, type: Type, strike: Real, discounts: DiscountFactor[]): BiasedBarrierPathPricer

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:442
Parameters
- barrierType: Type
- barrier: Real
- rebate: Real
- type: Type
- strike: Real
- discounts: DiscountFactor[]
Returns BiasedBarrierPathPricer

Properties

Private _barrier

_barrier: Real

Private _barrierType

_barrierType: Type

Private _discounts

_discounts: DiscountFactor[]

Private _payoff

_payoff: PlainVanillaPayoff

Private _rebate

_rebate: Real

Methods

f

f(path: Path): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:461
Parameters
- path: Path
Returns Real