MakeMCEuropeanGJRGARCHEngine< RNG, S > Class Template Reference

Monte Carlo GJR-GARCH European engine factory. More...

#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>

Collaboration diagram for MakeMCEuropeanGJRGARCHEngine< RNG, S >:

Public Member Functions
	MakeMCEuropeanGJRGARCHEngine (ext::shared_ptr< GJRGARCHProcess >)
MakeMCEuropeanGJRGARCHEngine &	withSteps (Size steps)
MakeMCEuropeanGJRGARCHEngine &	withStepsPerYear (Size steps)
MakeMCEuropeanGJRGARCHEngine &	withSamples (Size samples)
MakeMCEuropeanGJRGARCHEngine &	withAbsoluteTolerance (Real tolerance)
MakeMCEuropeanGJRGARCHEngine &	withMaxSamples (Size samples)
MakeMCEuropeanGJRGARCHEngine &	withSeed (BigNatural seed)
MakeMCEuropeanGJRGARCHEngine &	withAntitheticVariate (bool b=true)
	operator ext::shared_ptr< PricingEngine > () const

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

Detailed Description

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

Monte Carlo GJR-GARCH European engine factory.

Definition at line 59 of file mceuropeangjrgarchengine.hpp.

Constructor & Destructor Documentation

MakeMCEuropeanGJRGARCHEngine()

MakeMCEuropeanGJRGARCHEngine

(

ext::shared_ptr< GJRGARCHProcess >

process

)

Definition at line 133 of file mceuropeangjrgarchengine.hpp.

Member Function Documentation

withSteps()

MakeMCEuropeanGJRGARCHEngine< RNG, S > & withSteps

(

Size

steps

)

Definition at line 140 of file mceuropeangjrgarchengine.hpp.

withStepsPerYear()

MakeMCEuropeanGJRGARCHEngine< RNG, S > & withStepsPerYear

(

Size

steps

)

Definition at line 149 of file mceuropeangjrgarchengine.hpp.

withSamples()

MakeMCEuropeanGJRGARCHEngine< RNG, S > & withSamples

(

Size

samples

)

Definition at line 158 of file mceuropeangjrgarchengine.hpp.

withAbsoluteTolerance()

MakeMCEuropeanGJRGARCHEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 167 of file mceuropeangjrgarchengine.hpp.

withMaxSamples()

MakeMCEuropeanGJRGARCHEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 179 of file mceuropeangjrgarchengine.hpp.

withSeed()

MakeMCEuropeanGJRGARCHEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 186 of file mceuropeangjrgarchengine.hpp.

withAntitheticVariate()

MakeMCEuropeanGJRGARCHEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 193 of file mceuropeangjrgarchengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 200 of file mceuropeangjrgarchengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<GJRGARCHProcess> process_

private

Definition at line 73 of file mceuropeangjrgarchengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 74 of file mceuropeangjrgarchengine.hpp.

steps_

Size steps_

private

Definition at line 75 of file mceuropeangjrgarchengine.hpp.

stepsPerYear_

Size stepsPerYear_

private

Definition at line 75 of file mceuropeangjrgarchengine.hpp.

samples_

Size samples_

private

Definition at line 75 of file mceuropeangjrgarchengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 75 of file mceuropeangjrgarchengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 76 of file mceuropeangjrgarchengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 77 of file mceuropeangjrgarchengine.hpp.