MakeMCDiscreteArithmeticASEngine< RNG, S > Class Template Reference

#include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp>

Collaboration diagram for MakeMCDiscreteArithmeticASEngine< RNG, S >:

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

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

Detailed Description

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

Definition at line 132 of file mc_discr_arith_av_strike.hpp.

Constructor & Destructor Documentation

MakeMCDiscreteArithmeticASEngine()

MakeMCDiscreteArithmeticASEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 155 of file mc_discr_arith_av_strike.hpp.

Member Function Documentation

withBrownianBridge()

MakeMCDiscreteArithmeticASEngine< RNG, S > & withBrownianBridge

(

bool

b = true

)

Definition at line 198 of file mc_discr_arith_av_strike.hpp.

withSamples()

MakeMCDiscreteArithmeticASEngine< RNG, S > & withSamples

(

Size

samples

)

Definition at line 162 of file mc_discr_arith_av_strike.hpp.

withAbsoluteTolerance()

MakeMCDiscreteArithmeticASEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 171 of file mc_discr_arith_av_strike.hpp.

withMaxSamples()

MakeMCDiscreteArithmeticASEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 184 of file mc_discr_arith_av_strike.hpp.

withSeed()

MakeMCDiscreteArithmeticASEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 191 of file mc_discr_arith_av_strike.hpp.

withAntitheticVariate()

MakeMCDiscreteArithmeticASEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 205 of file mc_discr_arith_av_strike.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 212 of file mc_discr_arith_av_strike.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 146 of file mc_discr_arith_av_strike.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 147 of file mc_discr_arith_av_strike.hpp.

samples_

Size samples_

private

Definition at line 148 of file mc_discr_arith_av_strike.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 148 of file mc_discr_arith_av_strike.hpp.

tolerance_

Real tolerance_

private

Definition at line 149 of file mc_discr_arith_av_strike.hpp.

brownianBridge_

bool brownianBridge_ = true

private

Definition at line 150 of file mc_discr_arith_av_strike.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 151 of file mc_discr_arith_av_strike.hpp.