Class AmericanBasketPathPricer

Hierarchy

EarlyExercisePathPricer<MultiPath>
- AmericanBasketPathPricer

Implements

BinaryFunction<MultiPath, Size, Real>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AmericanBasketPathPricer(assetNumber: Size, payoff: Payoff, polynomOrder?: Size, polynomType?: PolynomType): AmericanBasketPathPricer

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:196
Parameters
- assetNumber: Size
- payoff: Payoff
- Default value polynomOrder: Size = 2
- Default value polynomType: PolynomType = LsmBasisSystem.PolynomType.Monomial
Returns AmericanBasketPathPricer

Properties

Protected _assetNumber

_assetNumber: Size

Protected _payoff

_payoff: Payoff

Protected _scalingValue

_scalingValue: Real

Protected _v

_v: Array<UnaryFunction<Real[], Real>>

Methods

basisSystem

basisSystem(): Array<UnaryFunction<Real[], Real>>

Overrides EarlyExercisePathPricer.basisSystem
- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:256
Returns Array<UnaryFunction<Real[], Real>>

f

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

Overrides EarlyExercisePathPricer.f
- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:252
Parameters
- path: MultiPath
- t: Size
Returns Real

Protected payoff

payoff(state: Real[]): Real

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:260
Parameters
- state: Real[]
Returns Real

state

state(path: MultiPath, t: Size): Real[]

Overrides EarlyExercisePathPricer.state
- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:239
Parameters
- path: MultiPath
- t: Size
Returns Real[]