Monte Carlo performance-option engine factory. More...
#include <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
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_
|
private |
Definition at line 98 of file mcperformanceengine.hpp.
◆ brownianBridge_
|
private |
Definition at line 99 of file mcperformanceengine.hpp.
◆ antithetic_
|
private |
Definition at line 99 of file mcperformanceengine.hpp.
◆ samples_
|
private |
Definition at line 100 of file mcperformanceengine.hpp.
◆ maxSamples_
|
private |
Definition at line 100 of file mcperformanceengine.hpp.
◆ tolerance_
|
private |
Definition at line 101 of file mcperformanceengine.hpp.
◆ seed_
|
private |
Definition at line 102 of file mcperformanceengine.hpp.