MakeMCDiscreteGeometricAPEngine< RNG, S > Class Template Reference

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

Collaboration diagram for MakeMCDiscreteGeometricAPEngine< RNG, S >:

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

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

Detailed Description

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

Definition at line 143 of file mc_discr_geom_av_price.hpp.

Constructor & Destructor Documentation

MakeMCDiscreteGeometricAPEngine()

MakeMCDiscreteGeometricAPEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 166 of file mc_discr_geom_av_price.hpp.

Member Function Documentation

withBrownianBridge()

MakeMCDiscreteGeometricAPEngine< RNG, S > & withBrownianBridge

(

bool

b = true

)

Definition at line 209 of file mc_discr_geom_av_price.hpp.

withSamples()

MakeMCDiscreteGeometricAPEngine< RNG, S > & withSamples

(

Size

samples

)

Definition at line 173 of file mc_discr_geom_av_price.hpp.

withAbsoluteTolerance()

MakeMCDiscreteGeometricAPEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 182 of file mc_discr_geom_av_price.hpp.

withMaxSamples()

MakeMCDiscreteGeometricAPEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 195 of file mc_discr_geom_av_price.hpp.

withSeed()

MakeMCDiscreteGeometricAPEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 202 of file mc_discr_geom_av_price.hpp.

withAntitheticVariate()

MakeMCDiscreteGeometricAPEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 216 of file mc_discr_geom_av_price.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 223 of file mc_discr_geom_av_price.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 157 of file mc_discr_geom_av_price.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 158 of file mc_discr_geom_av_price.hpp.

samples_

Size samples_

private

Definition at line 159 of file mc_discr_geom_av_price.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 159 of file mc_discr_geom_av_price.hpp.

tolerance_

Real tolerance_

private

Definition at line 160 of file mc_discr_geom_av_price.hpp.

brownianBridge_

bool brownianBridge_ = true

private

Definition at line 161 of file mc_discr_geom_av_price.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 162 of file mc_discr_geom_av_price.hpp.