QuantLib_PathPricer (3) Linux Manual Page

QuantLib::PathPricer – base class for path pricers

Synopsis

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

Inherits std::unary_function<PathType, ValueType>.

Public Member Functions

virtual ValueType operator() (const PathType &path) const =0

Detailed Description

template<class PathType, class ValueType = Real> class QuantLib::PathPricer< PathType, ValueType >

base class for path pricers

Returns the value of an option on a given path.

Examples:

DiscreteHedging.cpp.

Author

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