state (3) - Linux Manuals

state: base class for early exercise path pricers

NAME

QuantLib::EarlyExercisePathPricer - base class for early exercise path pricers

SYNOPSIS

#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>

Public Types

typedef EarlyExerciseTraits< PathType >::StateType StateType

Public Member Functions

virtual ValueType operator() (const PathType &path, TimeType t) const =0

virtual StateType state (const PathType &path, TimeType t) const =0

virtual std::vector< boost::function1< ValueType, StateType > > basisSystem () const =0

Detailed Description

template<class PathType, class TimeType = Size, class ValueType = Real> class QuantLib::EarlyExercisePathPricer< PathType, TimeType, ValueType >

Returns the value of an option on a given path and given time.

Author

Generated automatically by Doxygen for QuantLib from the source code.