DoubleBarrierPathPricer Class Reference

#include <mcdoublebarrierengine.hpp>

Inheritance diagram for DoubleBarrierPathPricer:

Collaboration diagram for DoubleBarrierPathPricer:

Public Member Functions
	DoubleBarrierPathPricer (DoubleBarrier::Type barrierType, Real barrierLow, Real barrieHigh, 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
DoubleBarrier::Type	barrierType_
Real	barrierLow_
Real	barrierHigh_
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 112 of file mcdoublebarrierengine.hpp.

Constructor & Destructor Documentation

DoubleBarrierPathPricer()

DoubleBarrierPathPricer	(	DoubleBarrier::Type	barrierType,
		Real	barrierLow,
		Real	barrieHigh,
		Real	rebate,
		Option::Type	type,
		Real	strike,
		std::vector< DiscountFactor >	discounts
	)

Definition at line 25 of file mcdoublebarrierengine.cpp.

Member Function Documentation

operator()()

Real operator() ( const Path &  path ) const

overridevirtual

Implements PathPricer< Path >.

Definition at line 42 of file mcdoublebarrierengine.cpp.

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Member Data Documentation

barrierType_

DoubleBarrier::Type barrierType_

private

Definition at line 124 of file mcdoublebarrierengine.hpp.

barrierLow_

Real barrierLow_

private

Definition at line 125 of file mcdoublebarrierengine.hpp.

barrierHigh_

Real barrierHigh_

private

Definition at line 126 of file mcdoublebarrierengine.hpp.

rebate_

Real rebate_

private

Definition at line 127 of file mcdoublebarrierengine.hpp.

payoff_

PlainVanillaPayoff payoff_

private

Definition at line 128 of file mcdoublebarrierengine.hpp.

discounts_

std::vector<DiscountFactor> discounts_

private

Definition at line 129 of file mcdoublebarrierengine.hpp.