MakeMCAmericanEngine< RNG, S, RNG_Calibration > Class Template Reference

Monte Carlo American engine factory. More...

#include <mcamericanengine.hpp>

Collaboration diagram for MakeMCAmericanEngine< RNG, S, RNG_Calibration >:

Public Member Functions
	MakeMCAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)
MakeMCAmericanEngine &	withSteps (Size steps)
MakeMCAmericanEngine &	withStepsPerYear (Size steps)
MakeMCAmericanEngine &	withSamples (Size samples)
MakeMCAmericanEngine &	withAbsoluteTolerance (Real tolerance)
MakeMCAmericanEngine &	withMaxSamples (Size samples)
MakeMCAmericanEngine &	withSeed (BigNatural seed)
MakeMCAmericanEngine &	withAntitheticVariate (bool b=true)
MakeMCAmericanEngine &	withControlVariate (bool b=true)
MakeMCAmericanEngine &	withPolynomialOrder (Size polynomialOrder)
MakeMCAmericanEngine &	withBasisSystem (LsmBasisSystem::PolynomialType)
MakeMCAmericanEngine &	withCalibrationSamples (Size calibrationSamples)
MakeMCAmericanEngine &	withAntitheticVariateCalibration (bool b=true)
MakeMCAmericanEngine &	withSeedCalibration (BigNatural seed)
	operator ext::shared_ptr< PricingEngine > () const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
bool	antithetic_ = false
bool	controlVariate_ = false
Size	steps_
Size	stepsPerYear_
Size	samples_
Size	maxSamples_
Size	calibrationSamples_ = 2048
Real	tolerance_
BigNatural	seed_ = 0
Size	polynomialOrder_ = 2
LsmBasisSystem::PolynomialType	polynomialType_ = LsmBasisSystem::Monomial
ext::optional< bool >	antitheticCalibration_
BigNatural	seedCalibration_

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics, class RNG_Calibration = RNG>
class QuantLib::MakeMCAmericanEngine< RNG, S, RNG_Calibration >

Monte Carlo American engine factory.

Examples

EquityOption.cpp.

Definition at line 108 of file mcamericanengine.hpp.

Constructor & Destructor Documentation

MakeMCAmericanEngine()

MakeMCAmericanEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 268 of file mcamericanengine.hpp.

Member Function Documentation

withSteps()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withSteps

(

Size

steps

)

Examples

EquityOption.cpp.

Definition at line 290 of file mcamericanengine.hpp.

withStepsPerYear()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withStepsPerYear

(

Size

steps

)

Definition at line 297 of file mcamericanengine.hpp.

withSamples()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withSamples

(

Size

samples

)

Definition at line 305 of file mcamericanengine.hpp.

withAbsoluteTolerance()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withAbsoluteTolerance

(

Real

tolerance

)

Examples

EquityOption.cpp.

Definition at line 314 of file mcamericanengine.hpp.

withMaxSamples()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withMaxSamples

(

Size

samples

)

Definition at line 327 of file mcamericanengine.hpp.

withSeed()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withSeed

(

BigNatural

seed

)

Examples

EquityOption.cpp.

Definition at line 343 of file mcamericanengine.hpp.

withAntitheticVariate()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withAntitheticVariate

(

bool

b = true

)

Examples

EquityOption.cpp.

Definition at line 350 of file mcamericanengine.hpp.

withControlVariate()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withControlVariate

(

bool

b = true

)

Definition at line 358 of file mcamericanengine.hpp.

withPolynomialOrder()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withPolynomialOrder

(

Size

polynomialOrder

)

Definition at line 276 of file mcamericanengine.hpp.

withBasisSystem()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withBasisSystem

(

LsmBasisSystem::PolynomialType

polynomialType

)

Definition at line 283 of file mcamericanengine.hpp.

withCalibrationSamples()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withCalibrationSamples

(

Size

calibrationSamples

)

Examples

EquityOption.cpp.

Definition at line 335 of file mcamericanengine.hpp.

withAntitheticVariateCalibration()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withAntitheticVariateCalibration

(

bool

b = true

)

Definition at line 365 of file mcamericanengine.hpp.

withSeedCalibration()

MakeMCAmericanEngine< RNG, S, RNG_Calibration > & withSeedCalibration

(

BigNatural

seed

)

Definition at line 372 of file mcamericanengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 379 of file mcamericanengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 129 of file mcamericanengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 130 of file mcamericanengine.hpp.

controlVariate_

bool controlVariate_ = false

private

Definition at line 130 of file mcamericanengine.hpp.

steps_

Size steps_

private

Definition at line 131 of file mcamericanengine.hpp.

stepsPerYear_

Size stepsPerYear_

private

Definition at line 131 of file mcamericanengine.hpp.

samples_

Size samples_

private

Definition at line 132 of file mcamericanengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 132 of file mcamericanengine.hpp.

calibrationSamples_

Size calibrationSamples_ = 2048

private

Definition at line 132 of file mcamericanengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 133 of file mcamericanengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 134 of file mcamericanengine.hpp.

polynomialOrder_

Size polynomialOrder_ = 2

private

Definition at line 135 of file mcamericanengine.hpp.

polynomialType_

LsmBasisSystem::PolynomialType polynomialType_ = LsmBasisSystem::Monomial

private

Definition at line 136 of file mcamericanengine.hpp.

antitheticCalibration_

ext::optional<bool> antitheticCalibration_

private

Definition at line 137 of file mcamericanengine.hpp.

seedCalibration_

BigNatural seedCalibration_

private

Definition at line 138 of file mcamericanengine.hpp.