Class Integrand

Hierarchy

Integrand

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new Integrand(path: Path, process: GeneralizedBlackScholesProcess): Integrand

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:230
Parameters
- path: Path
- process: GeneralizedBlackScholesProcess
Returns Integrand

Properties

Private _path

_path: Path

Private _process

_process: GeneralizedBlackScholesProcess

Methods

f

f(t: Time): Real

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:236
Parameters
- t: Time
Returns Real