Class EuropeanMultiPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<MultiPath>
- EuropeanMultiPathPricer

Implements

UnaryFunction<MultiPath, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new EuropeanMultiPathPricer(payoff: BasketPayoff, discount: DiscountFactor): EuropeanMultiPathPricer

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:227
Parameters
- payoff: BasketPayoff
- discount: DiscountFactor
Returns EuropeanMultiPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _payoff

_payoff: BasketPayoff

Methods

f

f(multiPath: MultiPath): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:234
Parameters
- multiPath: MultiPath
Returns Real