QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Public Member Functions | Private Attributes | List of all members
MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > Class Template Reference

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

+ Collaboration diagram for MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P >:

Public Member Functions

 MakeMCDiscreteGeometricAPHestonEngine (ext::shared_ptr< P > process)
 
MakeMCDiscreteGeometricAPHestonEnginewithSamples (Size samples)
 
MakeMCDiscreteGeometricAPHestonEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCDiscreteGeometricAPHestonEnginewithMaxSamples (Size samples)
 
MakeMCDiscreteGeometricAPHestonEnginewithSeed (BigNatural seed)
 
MakeMCDiscreteGeometricAPHestonEnginewithAntitheticVariate (bool b=true)
 
MakeMCDiscreteGeometricAPHestonEnginewithSteps (Size steps)
 
MakeMCDiscreteGeometricAPHestonEnginewithStepsPerYear (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
 

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics, class P = HestonProcess>
class QuantLib::MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P >

Definition at line 70 of file mc_discr_geom_av_price_heston.hpp.

Constructor & Destructor Documentation

◆ MakeMCDiscreteGeometricAPHestonEngine()

MakeMCDiscreteGeometricAPHestonEngine ( ext::shared_ptr< P >  process)
explicit

Definition at line 177 of file mc_discr_geom_av_price_heston.hpp.

Member Function Documentation

◆ withSamples()

MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withSamples ( Size  samples)

Definition at line 184 of file mc_discr_geom_av_price_heston.hpp.

◆ withAbsoluteTolerance()

MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withAbsoluteTolerance ( Real  tolerance)

Definition at line 193 of file mc_discr_geom_av_price_heston.hpp.

◆ withMaxSamples()

MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withMaxSamples ( Size  samples)

Definition at line 206 of file mc_discr_geom_av_price_heston.hpp.

◆ withSeed()

MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withSeed ( BigNatural  seed)

Definition at line 213 of file mc_discr_geom_av_price_heston.hpp.

◆ withAntitheticVariate()

MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withAntitheticVariate ( bool  b = true)

Definition at line 220 of file mc_discr_geom_av_price_heston.hpp.

◆ withSteps()

MakeMCDiscreteGeometricAPHestonEngine< RNG, S, P > & withSteps ( Size  steps)

Definition at line 227 of file mc_discr_geom_av_price_heston.hpp.

◆ withStepsPerYear()

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 >()

operator ext::shared_ptr< PricingEngine >

Definition at line 244 of file mc_discr_geom_av_price_heston.hpp.

Member Data Documentation

◆ process_

ext::shared_ptr<P> process_
private

Definition at line 84 of file mc_discr_geom_av_price_heston.hpp.

◆ antithetic_

bool antithetic_ = false
private

Definition at line 85 of file mc_discr_geom_av_price_heston.hpp.

◆ samples_

Size samples_
private

Definition at line 86 of file mc_discr_geom_av_price_heston.hpp.

◆ maxSamples_

Size maxSamples_
private

Definition at line 86 of file mc_discr_geom_av_price_heston.hpp.

◆ steps_

Size steps_
private

Definition at line 86 of file mc_discr_geom_av_price_heston.hpp.

◆ stepsPerYear_

Size stepsPerYear_
private

Definition at line 86 of file mc_discr_geom_av_price_heston.hpp.

◆ tolerance_

Real tolerance_
private

Definition at line 87 of file mc_discr_geom_av_price_heston.hpp.

◆ seed_

BigNatural seed_ = 0
private

Definition at line 88 of file mc_discr_geom_av_price_heston.hpp.