Class AmericanPathPricer

Hierarchy

EarlyExercisePathPricer<Path>
- AmericanPathPricer

Implements

BinaryFunction<Path, Size, Real>
BinaryFunction<Path, Size, Real>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AmericanPathPricer(payoff: Payoff, polynomOrder: Size, polynomType: PolynomType): AmericanPathPricer

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:156
Parameters
- payoff: Payoff
- polynomOrder: Size
- polynomType: PolynomType
Returns AmericanPathPricer

Properties

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/vanilla/mcamericanengine.ts:194
Returns Array<UnaryFunction<Real, Real>>

f

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

Overrides EarlyExercisePathPricer.f
- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:190
Parameters
- path: Path
- t: Size
Returns Real

Protected payoff

payoff(state: Real): Real

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:198
Parameters
- state: Real
Returns Real

state

state(path: Path, t: Size): Real

Overrides EarlyExercisePathPricer.state
- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:184
Parameters
- path: Path
- t: Size
Returns Real