base class for early exercise path pricers
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#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>
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typedef EarlyExerciseTraits
< PathType >::StateType | StateType |
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virtual ValueType | operator() (const PathType &path, TimeType t) const =0 |
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virtual StateType | state (const PathType &path, TimeType t) const =0 |
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virtual std::vector
< boost::function1< ValueType,
StateType > > | basisSystem () const =0 |
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template<class PathType, class TimeType = Size, class ValueType = Real>
class QuantLib::EarlyExercisePathPricer< PathType, TimeType, ValueType >
base class for early exercise path pricers
Returns the value of an option on a given path and given time.