MakeMCDiscreteArithmeticAPEngine< RNG, S > Class Template Reference

#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>

Collaboration diagram for MakeMCDiscreteArithmeticAPEngine< RNG, S >:

Public Member Functions
	MakeMCDiscreteArithmeticAPEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
MakeMCDiscreteArithmeticAPEngine &	withBrownianBridge (bool b=true)
MakeMCDiscreteArithmeticAPEngine &	withSamples (Size samples)
MakeMCDiscreteArithmeticAPEngine &	withAbsoluteTolerance (Real tolerance)
MakeMCDiscreteArithmeticAPEngine &	withMaxSamples (Size samples)
MakeMCDiscreteArithmeticAPEngine &	withSeed (BigNatural seed)
MakeMCDiscreteArithmeticAPEngine &	withAntitheticVariate (bool b=true)
MakeMCDiscreteArithmeticAPEngine &	withControlVariate (bool b=true)
	operator ext::shared_ptr< PricingEngine > () const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
bool	antithetic_ = false
bool	controlVariate_ = false
Size	samples_
Size	maxSamples_
Real	tolerance_
bool	brownianBridge_ = true
BigNatural	seed_ = 0

Detailed Description

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

Definition at line 187 of file mc_discr_arith_av_price.hpp.

Constructor & Destructor Documentation

MakeMCDiscreteArithmeticAPEngine()

MakeMCDiscreteArithmeticAPEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 211 of file mc_discr_arith_av_price.hpp.

Member Function Documentation

withBrownianBridge()

MakeMCDiscreteArithmeticAPEngine< RNG, S > & withBrownianBridge

(

bool

b = true

)

Definition at line 254 of file mc_discr_arith_av_price.hpp.

withSamples()

MakeMCDiscreteArithmeticAPEngine< RNG, S > & withSamples

(

Size

samples

)

Definition at line 218 of file mc_discr_arith_av_price.hpp.

withAbsoluteTolerance()

MakeMCDiscreteArithmeticAPEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 227 of file mc_discr_arith_av_price.hpp.

withMaxSamples()

MakeMCDiscreteArithmeticAPEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 240 of file mc_discr_arith_av_price.hpp.

withSeed()

MakeMCDiscreteArithmeticAPEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 247 of file mc_discr_arith_av_price.hpp.

withAntitheticVariate()

MakeMCDiscreteArithmeticAPEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 261 of file mc_discr_arith_av_price.hpp.

withControlVariate()

MakeMCDiscreteArithmeticAPEngine< RNG, S > & withControlVariate

(

bool

b = true

)

Definition at line 268 of file mc_discr_arith_av_price.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 275 of file mc_discr_arith_av_price.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 202 of file mc_discr_arith_av_price.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 203 of file mc_discr_arith_av_price.hpp.

controlVariate_

bool controlVariate_ = false

private

Definition at line 203 of file mc_discr_arith_av_price.hpp.

samples_

Size samples_

private

Definition at line 204 of file mc_discr_arith_av_price.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 204 of file mc_discr_arith_av_price.hpp.

tolerance_

Real tolerance_

private

Definition at line 205 of file mc_discr_arith_av_price.hpp.

brownianBridge_

bool brownianBridge_ = true

private

Definition at line 206 of file mc_discr_arith_av_price.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 207 of file mc_discr_arith_av_price.hpp.