Monte Carlo variance-swap engine factory. More...
#include <mcvarianceswapengine.hpp>
Collaboration diagram for MakeMCVarianceSwapEngine< RNG, S >:
Public Member Functions | |
| MakeMCVarianceSwapEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process) | |
| MakeMCVarianceSwapEngine & | withSteps (Size steps) |
| MakeMCVarianceSwapEngine & | withStepsPerYear (Size steps) |
| MakeMCVarianceSwapEngine & | withBrownianBridge (bool b=true) |
| MakeMCVarianceSwapEngine & | withSamples (Size samples) |
| MakeMCVarianceSwapEngine & | withAbsoluteTolerance (Real tolerance) |
| MakeMCVarianceSwapEngine & | withMaxSamples (Size samples) |
| MakeMCVarianceSwapEngine & | withSeed (BigNatural seed) |
| MakeMCVarianceSwapEngine & | withAntitheticVariate (bool b=true) |
| operator ext::shared_ptr< PricingEngine > () const | |
Private Attributes | |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
| bool | antithetic_ = false |
| Size | steps_ |
| Size | stepsPerYear_ |
| Size | samples_ |
| Size | maxSamples_ |
| Real | tolerance_ |
| bool | brownianBridge_ = false |
| BigNatural | seed_ = 0 |
Detailed Description
class QuantLib::MakeMCVarianceSwapEngine< RNG, S >
Monte Carlo variance-swap engine factory.
Definition at line 131 of file mcvarianceswapengine.hpp.
Constructor & Destructor Documentation
◆ MakeMCVarianceSwapEngine()
| MakeMCVarianceSwapEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process | ) |
Definition at line 225 of file mcvarianceswapengine.hpp.
Member Function Documentation
◆ withSteps()
| MakeMCVarianceSwapEngine< RNG, S > & withSteps | ( | Size | steps | ) |
Definition at line 232 of file mcvarianceswapengine.hpp.
◆ withStepsPerYear()
| MakeMCVarianceSwapEngine< RNG, S > & withStepsPerYear | ( | Size | steps | ) |
Definition at line 239 of file mcvarianceswapengine.hpp.
◆ withBrownianBridge()
| MakeMCVarianceSwapEngine< RNG, S > & withBrownianBridge | ( | bool | b = true | ) |
Definition at line 281 of file mcvarianceswapengine.hpp.
◆ withSamples()
| MakeMCVarianceSwapEngine< RNG, S > & withSamples | ( | Size | samples | ) |
Definition at line 246 of file mcvarianceswapengine.hpp.
◆ withAbsoluteTolerance()
| MakeMCVarianceSwapEngine< RNG, S > & withAbsoluteTolerance | ( | Real | tolerance | ) |
Definition at line 255 of file mcvarianceswapengine.hpp.
◆ withMaxSamples()
| MakeMCVarianceSwapEngine< RNG, S > & withMaxSamples | ( | Size | samples | ) |
Definition at line 267 of file mcvarianceswapengine.hpp.
◆ withSeed()
| MakeMCVarianceSwapEngine< RNG, S > & withSeed | ( | BigNatural | seed | ) |
Definition at line 274 of file mcvarianceswapengine.hpp.
◆ withAntitheticVariate()
| MakeMCVarianceSwapEngine< RNG, S > & withAntitheticVariate | ( | bool | b = true | ) |
Definition at line 288 of file mcvarianceswapengine.hpp.
◆ operator ext::shared_ptr< PricingEngine >()
| operator ext::shared_ptr< PricingEngine > |
Definition at line 294 of file mcvarianceswapengine.hpp.
Member Data Documentation
◆ process_
|
private |
Definition at line 146 of file mcvarianceswapengine.hpp.
◆ antithetic_
|
private |
Definition at line 147 of file mcvarianceswapengine.hpp.
◆ steps_
|
private |
Definition at line 148 of file mcvarianceswapengine.hpp.
◆ stepsPerYear_
|
private |
Definition at line 148 of file mcvarianceswapengine.hpp.
◆ samples_
|
private |
Definition at line 148 of file mcvarianceswapengine.hpp.
◆ maxSamples_
|
private |
Definition at line 148 of file mcvarianceswapengine.hpp.
◆ tolerance_
|
private |
Definition at line 149 of file mcvarianceswapengine.hpp.
◆ brownianBridge_
|
private |
Definition at line 150 of file mcvarianceswapengine.hpp.
◆ seed_
|
private |
Definition at line 151 of file mcvarianceswapengine.hpp.