MakeMCPerformanceEngine< RNG, S > Class Template Reference

Monte Carlo performance-option engine factory. More...

#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

Collaboration diagram for MakeMCPerformanceEngine< RNG, S >:

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

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

Detailed Description

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

Monte Carlo performance-option engine factory.

Definition at line 85 of file mcperformanceengine.hpp.

Constructor & Destructor Documentation

MakeMCPerformanceEngine()

MakeMCPerformanceEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 184 of file mcperformanceengine.hpp.

Member Function Documentation

withBrownianBridge()

MakeMCPerformanceEngine< RNG, S > & withBrownianBridge

(

bool

b = true

)

Definition at line 191 of file mcperformanceengine.hpp.

withAntitheticVariate()

MakeMCPerformanceEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 198 of file mcperformanceengine.hpp.

withSamples()

MakeMCPerformanceEngine< RNG, S > & withSamples

(

Size

samples

)

Definition at line 205 of file mcperformanceengine.hpp.

withAbsoluteTolerance()

MakeMCPerformanceEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 214 of file mcperformanceengine.hpp.

withMaxSamples()

MakeMCPerformanceEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 226 of file mcperformanceengine.hpp.

withSeed()

MakeMCPerformanceEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 233 of file mcperformanceengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 240 of file mcperformanceengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 98 of file mcperformanceengine.hpp.

brownianBridge_

bool brownianBridge_ = false

private

Definition at line 99 of file mcperformanceengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 99 of file mcperformanceengine.hpp.

samples_

Size samples_

private

Definition at line 100 of file mcperformanceengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 100 of file mcperformanceengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 101 of file mcperformanceengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 102 of file mcperformanceengine.hpp.