QuantLib: EarlyExercisePathPricer< PathType, TimeType, ValueType

base class for early exercise path pricers More...

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

Public Types
typedef EarlyExerciseTraits< PathType >::StateType	StateType

Public Member Functions
virtual ValueType	operator() (const PathType &path, TimeType t) const =0
virtual StateType	state (const PathType &path, TimeType t) const =0
virtual std::vector< std::function< ValueType(StateType)> >	basisSystem () const =0

Detailed Description

template<class PathType, class TimeType = Size, class ValueType = Real>
class QuantLib::EarlyExercisePathPricer< PathType, TimeType, ValueType >

base class for early exercise path pricers

Returns the value of an option on a given path and given time.