QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp>
Public Member Functions | |
MakeMCDiscreteGeometricAPHestonEngine (ext::shared_ptr< P > process) | |
MakeMCDiscreteGeometricAPHestonEngine & | withSamples (Size samples) |
MakeMCDiscreteGeometricAPHestonEngine & | withAbsoluteTolerance (Real tolerance) |
MakeMCDiscreteGeometricAPHestonEngine & | withMaxSamples (Size samples) |
MakeMCDiscreteGeometricAPHestonEngine & | withSeed (BigNatural seed) |
MakeMCDiscreteGeometricAPHestonEngine & | withAntitheticVariate (bool b=true) |
MakeMCDiscreteGeometricAPHestonEngine & | withSteps (Size steps) |
MakeMCDiscreteGeometricAPHestonEngine & | withStepsPerYear (Size steps) |
operator ext::shared_ptr< PricingEngine > () const | |
Private Attributes | |
ext::shared_ptr< P > | process_ |
bool | antithetic_ = false |
Size | samples_ |
Size | maxSamples_ |
Size | steps_ |
Size | stepsPerYear_ |
Real | tolerance_ |
BigNatural | seed_ = 0 |
Definition at line 70 of file mc_discr_geom_av_price_heston.hpp.
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explicit |
Definition at line 177 of file mc_discr_geom_av_price_heston.hpp.
MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withSamples | ( | Size | samples | ) |
Definition at line 184 of file mc_discr_geom_av_price_heston.hpp.
MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withAbsoluteTolerance | ( | Real | tolerance | ) |
Definition at line 193 of file mc_discr_geom_av_price_heston.hpp.
MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withMaxSamples | ( | Size | samples | ) |
Definition at line 206 of file mc_discr_geom_av_price_heston.hpp.
MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withSeed | ( | BigNatural | seed | ) |
Definition at line 213 of file mc_discr_geom_av_price_heston.hpp.
MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withAntitheticVariate | ( | bool | b = true | ) |
Definition at line 220 of file mc_discr_geom_av_price_heston.hpp.
MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withSteps | ( | Size | steps | ) |
Definition at line 227 of file mc_discr_geom_av_price_heston.hpp.
MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withStepsPerYear | ( | Size | steps | ) |
Definition at line 236 of file mc_discr_geom_av_price_heston.hpp.
operator ext::shared_ptr< PricingEngine > |
Definition at line 244 of file mc_discr_geom_av_price_heston.hpp.
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private |
Definition at line 84 of file mc_discr_geom_av_price_heston.hpp.
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private |
Definition at line 85 of file mc_discr_geom_av_price_heston.hpp.
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private |
Definition at line 86 of file mc_discr_geom_av_price_heston.hpp.
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private |
Definition at line 86 of file mc_discr_geom_av_price_heston.hpp.
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private |
Definition at line 86 of file mc_discr_geom_av_price_heston.hpp.
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private |
Definition at line 86 of file mc_discr_geom_av_price_heston.hpp.
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private |
Definition at line 87 of file mc_discr_geom_av_price_heston.hpp.
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private |
Definition at line 88 of file mc_discr_geom_av_price_heston.hpp.