MakeMCLookbackEngine< I, RNG, S > Class Template Reference

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

#include <mclookbackengine.hpp>

Collaboration diagram for MakeMCLookbackEngine< I, RNG, S >:

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

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

Detailed Description

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

Monte Carlo lookback-option engine factory.

Definition at line 91 of file mclookbackengine.hpp.

Constructor & Destructor Documentation

MakeMCLookbackEngine()

MakeMCLookbackEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 206 of file mclookbackengine.hpp.

Member Function Documentation

withSteps()

MakeMCLookbackEngine< I, RNG, S > & withSteps

(

Size

steps

)

Definition at line 213 of file mclookbackengine.hpp.

withStepsPerYear()

MakeMCLookbackEngine< I, RNG, S > & withStepsPerYear

(

Size

steps

)

Definition at line 220 of file mclookbackengine.hpp.

withBrownianBridge()

MakeMCLookbackEngine< I, RNG, S > & withBrownianBridge

(

bool

b = true

)

Definition at line 227 of file mclookbackengine.hpp.

withAntitheticVariate()

MakeMCLookbackEngine< I, RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 234 of file mclookbackengine.hpp.

withSamples()

MakeMCLookbackEngine< I, RNG, S > & withSamples

(

Size

samples

)

Definition at line 241 of file mclookbackengine.hpp.

withAbsoluteTolerance()

MakeMCLookbackEngine< I, RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 250 of file mclookbackengine.hpp.

withMaxSamples()

MakeMCLookbackEngine< I, RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 262 of file mclookbackengine.hpp.

withSeed()

MakeMCLookbackEngine< I, RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 269 of file mclookbackengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 275 of file mclookbackengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 106 of file mclookbackengine.hpp.

brownianBridge_

bool brownianBridge_ = false

private

Definition at line 107 of file mclookbackengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 107 of file mclookbackengine.hpp.

steps_

Size steps_

private

Definition at line 108 of file mclookbackengine.hpp.

stepsPerYear_

Size stepsPerYear_

private

Definition at line 108 of file mclookbackengine.hpp.

samples_

Size samples_

private

Definition at line 108 of file mclookbackengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 108 of file mclookbackengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 109 of file mclookbackengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 110 of file mclookbackengine.hpp.