BiasedBarrierPathPricer Class Reference

#include <mcbarrierengine.hpp>

Inheritance diagram for BiasedBarrierPathPricer:

Collaboration diagram for BiasedBarrierPathPricer:

Public Member Functions
	BiasedBarrierPathPricer (Barrier::Type barrierType, Real barrier, Real rebate, Option::Type type, Real strike, std::vector< DiscountFactor > discounts)
Real	operator() (const Path &path) const override
Public Member Functions inherited from PathPricer< Path >
virtual	~PathPricer ()=default
virtual Real	operator() (const Path &path) const=0

Private Attributes
Barrier::Type	barrierType_
Real	barrier_
Real	rebate_
PlainVanillaPayoff	payoff_
std::vector< DiscountFactor >	discounts_

Additional Inherited Members
Public Types inherited from PathPricer< Path >
typedef Real	result_type

Detailed Description

Definition at line 163 of file mcbarrierengine.hpp.

Constructor & Destructor Documentation

BiasedBarrierPathPricer()

BiasedBarrierPathPricer	(	Barrier::Type	barrierType,
		Real	barrier,
		Real	rebate,
		Option::Type	type,
		Real	strike,
		std::vector< DiscountFactor >	discounts
	)

Definition at line 159 of file mcbarrierengine.cpp.

Member Function Documentation

operator()()

Real operator() ( const Path &  path ) const

overridevirtual

Implements PathPricer< Path >.

Definition at line 174 of file mcbarrierengine.cpp.

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Member Data Documentation

barrierType_

Barrier::Type barrierType_

private

Definition at line 174 of file mcbarrierengine.hpp.

barrier_

Real barrier_

private

Definition at line 175 of file mcbarrierengine.hpp.

rebate_

Real rebate_

private

Definition at line 176 of file mcbarrierengine.hpp.

payoff_

PlainVanillaPayoff payoff_

private

Definition at line 177 of file mcbarrierengine.hpp.

discounts_

std::vector<DiscountFactor> discounts_

private

Definition at line 178 of file mcbarrierengine.hpp.