Class VariancePathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- VariancePathPricer

Implements

UnaryFunction<Path, ValueType>

Index

Constructors

constructor

Properties

_process

Methods

f

Constructors

constructor

new VariancePathPricer(process: GeneralizedBlackScholesProcess): VariancePathPricer

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:209
Parameters
- process: GeneralizedBlackScholesProcess
Returns VariancePathPricer

Properties

Private _process

_process: GeneralizedBlackScholesProcess

Methods

f

f(path: Path): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:215
Parameters
- path: Path
Returns Real