earlyexercisepathpricer (3) - Linux Manuals

earlyexercisepathpricer: base class for early exercise single-path pricers

NAME

ql/methods/montecarlo/earlyexercisepathpricer.hpp - base class for early exercise single-path pricers

SYNOPSIS

#include <ql/math/array.hpp>
#include <ql/methods/montecarlo/path.hpp>
#include <ql/methods/montecarlo/multipath.hpp>
#include <boost/function.hpp>

Classes

class EarlyExercisePathPricer< PathType, TimeType, ValueType >
base class for early exercise path pricers

Detailed Description

base class for early exercise single-path pricers

Author

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