BarrierPathPricer Class Reference

#include <mcbarrierengine.hpp>

Inheritance diagram for BarrierPathPricer:

Collaboration diagram for BarrierPathPricer:

Public Member Functions
	BarrierPathPricer (Barrier::Type barrierType, Real barrier, Real rebate, Option::Type type, Real strike, std::vector< DiscountFactor > discounts, ext::shared_ptr< StochasticProcess1D > diffProcess, PseudoRandom::ursg_type sequenceGen)
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_
ext::shared_ptr< StochasticProcess1D >	diffProcess_
PseudoRandom::ursg_type	sequenceGen_
PlainVanillaPayoff	payoff_
std::vector< DiscountFactor >	discounts_

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

Detailed Description

Definition at line 140 of file mcbarrierengine.hpp.

Constructor & Destructor Documentation

BarrierPathPricer()

BarrierPathPricer	(	Barrier::Type	barrierType,
		Real	barrier,
		Real	rebate,
		Option::Type	type,
		Real	strike,
		std::vector< DiscountFactor >	discounts,
		ext::shared_ptr< StochasticProcess1D >	diffProcess,
		PseudoRandom::ursg_type	sequenceGen
	)

Definition at line 27 of file mcbarrierengine.cpp.

Member Function Documentation

operator()()

Real operator() ( const Path &  path ) const

overridevirtual

Implements PathPricer< Path >.

Definition at line 45 of file mcbarrierengine.cpp.

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Member Data Documentation

barrierType_

Barrier::Type barrierType_

private

Definition at line 153 of file mcbarrierengine.hpp.

barrier_

Real barrier_

private

Definition at line 154 of file mcbarrierengine.hpp.

rebate_

Real rebate_

private

Definition at line 155 of file mcbarrierengine.hpp.

diffProcess_

ext::shared_ptr<StochasticProcess1D> diffProcess_

private

Definition at line 156 of file mcbarrierengine.hpp.

sequenceGen_

PseudoRandom::ursg_type sequenceGen_

private

Definition at line 157 of file mcbarrierengine.hpp.

payoff_

PlainVanillaPayoff payoff_

private

Definition at line 158 of file mcbarrierengine.hpp.

discounts_

std::vector<DiscountFactor> discounts_

private

Definition at line 159 of file mcbarrierengine.hpp.