MakeMCForwardEuropeanBSEngine< RNG, S > Class Template Reference

#include <ql/pricingengines/forward/mcforwardeuropeanbsengine.hpp>

Collaboration diagram for MakeMCForwardEuropeanBSEngine< RNG, S >:

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

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

Detailed Description

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

Definition at line 64 of file mcforwardeuropeanbsengine.hpp.

Constructor & Destructor Documentation

MakeMCForwardEuropeanBSEngine()

MakeMCForwardEuropeanBSEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 167 of file mcforwardeuropeanbsengine.hpp.

Member Function Documentation

withSteps()

MakeMCForwardEuropeanBSEngine< RNG, S > & withSteps

(

Size

steps

)

Definition at line 174 of file mcforwardeuropeanbsengine.hpp.

withStepsPerYear()

MakeMCForwardEuropeanBSEngine< RNG, S > & withStepsPerYear

(

Size

steps

)

Definition at line 181 of file mcforwardeuropeanbsengine.hpp.

withBrownianBridge()

MakeMCForwardEuropeanBSEngine< RNG, S > & withBrownianBridge

(

bool

b = false

)

Definition at line 224 of file mcforwardeuropeanbsengine.hpp.

withSamples()

MakeMCForwardEuropeanBSEngine< RNG, S > & withSamples

(

Size

samples

)

Definition at line 188 of file mcforwardeuropeanbsengine.hpp.

withAbsoluteTolerance()

MakeMCForwardEuropeanBSEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 197 of file mcforwardeuropeanbsengine.hpp.

withMaxSamples()

MakeMCForwardEuropeanBSEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 210 of file mcforwardeuropeanbsengine.hpp.

withSeed()

MakeMCForwardEuropeanBSEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 217 of file mcforwardeuropeanbsengine.hpp.

withAntitheticVariate()

MakeMCForwardEuropeanBSEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 231 of file mcforwardeuropeanbsengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 238 of file mcforwardeuropeanbsengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 80 of file mcforwardeuropeanbsengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 81 of file mcforwardeuropeanbsengine.hpp.

steps_

Size steps_

private

Definition at line 82 of file mcforwardeuropeanbsengine.hpp.

stepsPerYear_

Size stepsPerYear_

private

Definition at line 82 of file mcforwardeuropeanbsengine.hpp.

samples_

Size samples_

private

Definition at line 82 of file mcforwardeuropeanbsengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 82 of file mcforwardeuropeanbsengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 83 of file mcforwardeuropeanbsengine.hpp.

brownianBridge_

bool brownianBridge_ = false

private

Definition at line 84 of file mcforwardeuropeanbsengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 85 of file mcforwardeuropeanbsengine.hpp.