QuantLib_PathPricer

Langue: en

Autres versions - même langue

Version: 377134 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::PathPricer -

base class for path pricers

SYNOPSIS


#include <ql/methods/montecarlo/pathpricer.hpp>

Inherits std::unary_function< PathType, ValueType >.

Public Member Functions


virtual ValueType operator() (const PathType &path) const =0

Detailed Description

template<class PathType, class ValueType = Real> class QuantLib::PathPricer< PathType, ValueType >

base class for path pricers

Returns the value of an option on a given path.

Examples:

DiscreteHedging.cpp.

Author

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