Monte Carlo Hull-White cap-floor engine factory. More...
#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>
Collaboration diagram for MakeMCHullWhiteCapFloorEngine< RNG, S >:
Public Member Functions | |
| MakeMCHullWhiteCapFloorEngine (ext::shared_ptr< HullWhite >) | |
| MakeMCHullWhiteCapFloorEngine & | withBrownianBridge (bool b=true) |
| MakeMCHullWhiteCapFloorEngine & | withSamples (Size samples) |
| MakeMCHullWhiteCapFloorEngine & | withAbsoluteTolerance (Real tolerance) |
| MakeMCHullWhiteCapFloorEngine & | withMaxSamples (Size samples) |
| MakeMCHullWhiteCapFloorEngine & | withSeed (BigNatural seed) |
| MakeMCHullWhiteCapFloorEngine & | withAntitheticVariate (bool b=true) |
| operator ext::shared_ptr< PricingEngine > () const | |
Private Attributes | |
| ext::shared_ptr< HullWhite > | model_ |
| bool | antithetic_ = false |
| Size | samples_ |
| Size | maxSamples_ |
| Real | tolerance_ |
| bool | brownianBridge_ = false |
| BigNatural | seed_ = 0 |
Detailed Description
class QuantLib::MakeMCHullWhiteCapFloorEngine< RNG, S >
Monte Carlo Hull-White cap-floor engine factory.
Definition at line 157 of file mchullwhiteengine.hpp.
Constructor & Destructor Documentation
◆ MakeMCHullWhiteCapFloorEngine()
| MakeMCHullWhiteCapFloorEngine | ( | ext::shared_ptr< HullWhite > | model | ) |
Definition at line 182 of file mchullwhiteengine.hpp.
Member Function Documentation
◆ withBrownianBridge()
| MakeMCHullWhiteCapFloorEngine< RNG, S > & withBrownianBridge | ( | bool | b = true | ) |
Definition at line 225 of file mchullwhiteengine.hpp.
◆ withSamples()
| MakeMCHullWhiteCapFloorEngine< RNG, S > & withSamples | ( | Size | samples | ) |
Definition at line 189 of file mchullwhiteengine.hpp.
◆ withAbsoluteTolerance()
| MakeMCHullWhiteCapFloorEngine< RNG, S > & withAbsoluteTolerance | ( | Real | tolerance | ) |
Definition at line 198 of file mchullwhiteengine.hpp.
◆ withMaxSamples()
| MakeMCHullWhiteCapFloorEngine< RNG, S > & withMaxSamples | ( | Size | samples | ) |
Definition at line 211 of file mchullwhiteengine.hpp.
◆ withSeed()
| MakeMCHullWhiteCapFloorEngine< RNG, S > & withSeed | ( | BigNatural | seed | ) |
Definition at line 218 of file mchullwhiteengine.hpp.
◆ withAntitheticVariate()
| MakeMCHullWhiteCapFloorEngine< RNG, S > & withAntitheticVariate | ( | bool | b = true | ) |
Definition at line 232 of file mchullwhiteengine.hpp.
◆ operator ext::shared_ptr< PricingEngine >()
| operator ext::shared_ptr< PricingEngine > |
Definition at line 238 of file mchullwhiteengine.hpp.
Member Data Documentation
◆ model_
|
private |
Definition at line 170 of file mchullwhiteengine.hpp.
◆ antithetic_
|
private |
Definition at line 171 of file mchullwhiteengine.hpp.
◆ samples_
|
private |
Definition at line 172 of file mchullwhiteengine.hpp.
◆ maxSamples_
|
private |
Definition at line 172 of file mchullwhiteengine.hpp.
◆ tolerance_
|
private |
Definition at line 173 of file mchullwhiteengine.hpp.
◆ brownianBridge_
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private |
Definition at line 174 of file mchullwhiteengine.hpp.
◆ seed_
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private |
Definition at line 175 of file mchullwhiteengine.hpp.