Class PerformanceOptionPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- PerformanceOptionPathPricer

Implements

UnaryFunction<Path, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new PerformanceOptionPathPricer(type: Type, strike: Real, discounts: DiscountFactor[]): PerformanceOptionPathPricer

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:196
Parameters
- type: Type
- strike: Real
- discounts: DiscountFactor[]
Returns PerformanceOptionPathPricer

Properties

Private _discounts

_discounts: DiscountFactor[]

Private _strike

_strike: Real

Private _type

_type: Type

Methods

f

f(path: Path): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:204
Parameters
- path: Path
Returns Real