Class DigitalPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- DigitalPathPricer

Implements

UnaryFunction<Path, ValueType>

Index

Constructors

constructor

Methods

f

Constructors

constructor

new DigitalPathPricer(payoff: CashOrNothingPayoff, exercise: AmericanExercise, discountTS: Handle<YieldTermStructure>, diffProcess: StochasticProcess1D, sequenceGen: ursg_type): DigitalPathPricer

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:208
Parameters
- payoff: CashOrNothingPayoff
- exercise: AmericanExercise
- discountTS: Handle<YieldTermStructure>
- diffProcess: StochasticProcess1D
- sequenceGen: ursg_type
Returns DigitalPathPricer

Methods

f

f(p: Path): ValueType

Inherited from PathPricer.f
- Defined in ql/methods/montecarlo/pathpricer.ts:19
Parameters
- p: Path
Returns ValueType