EuropeanHestonPathPricer Class Reference

#include <mceuropeanhestonengine.hpp>

Inheritance diagram for EuropeanHestonPathPricer:

Collaboration diagram for EuropeanHestonPathPricer:

Public Member Functions
	EuropeanHestonPathPricer (Option::Type type, Real strike, DiscountFactor discount)
Real	operator() (const MultiPath &Multipath) const override
Public Member Functions inherited from PathPricer< MultiPath >
virtual	~PathPricer ()=default
virtual Real	operator() (const MultiPath &path) const=0

Private Attributes
PlainVanillaPayoff	payoff_
DiscountFactor	discount_

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

Detailed Description

Definition at line 84 of file mceuropeanhestonengine.hpp.

Constructor & Destructor Documentation

EuropeanHestonPathPricer()

EuropeanHestonPathPricer	(	Option::Type	type,
		Real	strike,
		DiscountFactor	discount
	)

Definition at line 219 of file mceuropeanhestonengine.hpp.

Member Function Documentation

operator()()

Real operator() ( const MultiPath &  Multipath ) const

overridevirtual

Implements PathPricer< MultiPath >.

Definition at line 228 of file mceuropeanhestonengine.hpp.

Here is the call graph for this function:

Member Data Documentation

payoff_

PlainVanillaPayoff payoff_

private

Definition at line 92 of file mceuropeanhestonengine.hpp.

discount_

DiscountFactor discount_

private

Definition at line 93 of file mceuropeanhestonengine.hpp.