Class EuropeanPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- EuropeanPathPricer

Implements

UnaryFunction<Path, ValueType>
UnaryFunction<Path, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new EuropeanPathPricer(type: Type, strike: Real, discount: DiscountFactor): EuropeanPathPricer

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:172
Parameters
- type: Type
- strike: Real
- discount: DiscountFactor
Returns EuropeanPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _payoff

_payoff: PlainVanillaPayoff

Methods

f

f(path: Path): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:183
Parameters
- path: Path
Returns Real