Interface MonteCarloSimulator.PathPayoff

Enclosing class:
MonteCarloSimulator
Functional Interface:
This is a functional interface and can therefore be used as the assignment target for a lambda expression or method reference.
@FunctionalInterface public static interface MonteCarloSimulator.PathPayoff
Payoff of one simulated path.

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    payoff(double[][] path)
    Payoff of one simulated path.

  • Method Details

    • payoff

      double payoff(double[][] path)
      Payoff of one simulated path.
      Parameters:
      path - path[i][j] = price of asset i at grid point j, j = 0 (spot) .. steps (maturity). The array is reused by the caller thread; copy anything you keep.
      Returns:
      the (undiscounted) payoff, finite