Class PathPricer<TPath>

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

The base class for path pricers: the value of an option on a given path.

public abstract class PathPricer<TPath>

Type Parameters

TPath

The path type.

Inheritance

object

PathPricer<TPath>

Derived

DoubleBarrierPathPricer

EuropeanPathMultiPathPricer

EverestMultiPathPricer

HimalayaMultiPathPricer

LongstaffSchwartzMultiPathPricer

PagodaMultiPathPricer

LongstaffSchwartzPathPricer<TPath, TState>

ArithmeticAPOHestonPathPricer

ArithmeticAPOPathPricer

ArithmeticASOPathPricer

BarrierPathPricer

BiasedBarrierPathPricer

DigitalPathPricer

EuropeanGJRGARCHPathPricer

EuropeanHestonPathPricer

EuropeanMultiPathPricer

EuropeanPathPricer

ForwardEuropeanBSPathPricer

ForwardEuropeanHestonPathPricer

GeometricAPOHestonPathPricer

GeometricAPOPathPricer

HestonHullWhitePathPricer

PerformanceOptionPathPricer

VariancePathPricer

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An extension point, as in QuantLib: each Monte Carlo engine's pricer derives from it.

Constructors

PathPricer()

Initializes a new instance of the PathPricer<TPath> class.

protected PathPricer()

Methods

Evaluate(TPath)

The value on a path: QuantLib's operator().

public abstract double Evaluate(TPath path)

Parameters

path TPath

The path.

Returns

double

The value.