basissystem(3)

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 >

base class for early exercise path pricers

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

Author

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