Class HestonHullWhitePathPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<MultiPath>
- HestonHullWhitePathPricer

Implements

UnaryFunction<MultiPath, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new HestonHullWhitePathPricer(exerciseTime: Time, payoff: Payoff, process: HybridHestonHullWhiteProcess): HestonHullWhitePathPricer

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:231
Parameters
- exerciseTime: Time
- payoff: Payoff
- process: HybridHestonHullWhiteProcess
Returns HestonHullWhitePathPricer

Properties

Private _exerciseTime

_exerciseTime: Time

Private _payoff

_payoff: Payoff

Private _process

_process: HybridHestonHullWhiteProcess

Methods

f

f(path: MultiPath): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:241
Parameters
- path: MultiPath
Returns Real