Class EuropeanHestonPathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<MultiPath>
- EuropeanHestonPathPricer

Implements

UnaryFunction<MultiPath, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

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

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:175
Parameters
- type: Type
- strike: Real
- discount: DiscountFactor
Returns EuropeanHestonPathPricer

Properties

Private _discount

_discount: DiscountFactor

Private _payoff

_payoff: PlainVanillaPayoff

Methods

f

f(multiPath: MultiPath): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:185
Parameters
- multiPath: MultiPath
Returns Real