QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Types | Public Member Functions | List of all members
EarlyExercisePathPricer< PathType, TimeType, ValueType > Class Template Referenceabstract

base class for early exercise path pricers More...

#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< ext::function< 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.