AmericanPathPricer Class Reference

#include <mcamericanengine.hpp>

Inheritance diagram for AmericanPathPricer:

Collaboration diagram for AmericanPathPricer:

Public Member Functions
	AmericanPathPricer (ext::shared_ptr< Payoff > payoff, Size polynomialOrder, LsmBasisSystem::PolynomialType polynomialType)
Real	state (const Path &path, Size t) const override
Real	operator() (const Path &path, Size t) const override
std::vector< std::function< Real(Real)> >	basisSystem () const override
Public Member Functions inherited from EarlyExercisePathPricer< Path >
virtual	~EarlyExercisePathPricer ()=default
virtual Real	operator() (const Path &path, Size t) const=0
virtual StateType	state (const Path &path, Size t) const=0
virtual std::vector< std::function< Real(StateType)> >	basisSystem () const=0

Protected Member Functions
Real	payoff (Real state) const

Protected Attributes
Real	scalingValue_ = 1.0
const ext::shared_ptr< Payoff >	payoff_
std::vector< std::function< Real(Real)> >	v_

Additional Inherited Members
Public Types inherited from EarlyExercisePathPricer< Path >
typedef EarlyExerciseTraits< Path >::StateType	StateType

Detailed Description

Definition at line 85 of file mcamericanengine.hpp.

Constructor & Destructor Documentation

AmericanPathPricer()

AmericanPathPricer	(	ext::shared_ptr< Payoff >	payoff,
		Size	polynomialOrder,
		LsmBasisSystem::PolynomialType	polynomialType
	)

Definition at line 31 of file mcamericanengine.cpp.

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Member Function Documentation

state()

Real state ( const Path &  path, Size  t  ) const

overridevirtual

Implements EarlyExercisePathPricer< Path >.

Definition at line 63 of file mcamericanengine.cpp.

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operator()()

Real operator() ( const Path &  path, Size  t  ) const

overridevirtual

Implements EarlyExercisePathPricer< Path >.

Definition at line 59 of file mcamericanengine.cpp.

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basisSystem()

std::vector< std::function< Real(Real)> > basisSystem ( ) const

overridevirtual

Implements EarlyExercisePathPricer< Path >.

Definition at line 70 of file mcamericanengine.cpp.

payoff()

Real payoff ( Real  state ) const

protected

Definition at line 55 of file mcamericanengine.cpp.

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Member Data Documentation

scalingValue_

Real scalingValue_ = 1.0

protected

Definition at line 99 of file mcamericanengine.hpp.

payoff_

const ext::shared_ptr<Payoff> payoff_

protected

Definition at line 100 of file mcamericanengine.hpp.

v_

std::vector<std::function<Real(Real)> > v_

protected

Definition at line 101 of file mcamericanengine.hpp.