Class EuropeanGJRGARCHPathPricer<PathType, ValueType>

Type parameters

PathType
ValueType

Hierarchy

PathPricer
- EuropeanGJRGARCHPathPricer

Implements

UnaryFunction<PathType, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

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

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:169
Parameters
- type: Type
- strike: Real
- discount: DiscountFactor
Returns EuropeanGJRGARCHPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _payoff

_payoff: PlainVanillaPayoff

Methods

f

f(multiPath: MultiPath): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:179
Parameters
- multiPath: MultiPath
Returns Real