QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
MakeMCEverestEngine< RNG, S > Class Template Reference

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

#include <ql/experimental/exoticoptions/mceverestengine.hpp>

+ Collaboration diagram for MakeMCEverestEngine< RNG, S >:

Public Member Functions

 MakeMCEverestEngine (ext::shared_ptr< StochasticProcessArray >)
 
MakeMCEverestEnginewithSteps (Size steps)
 
MakeMCEverestEnginewithStepsPerYear (Size steps)
 
MakeMCEverestEnginewithBrownianBridge (bool b=true)
 
MakeMCEverestEnginewithAntitheticVariate (bool b=true)
 
MakeMCEverestEnginewithSamples (Size samples)
 
MakeMCEverestEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCEverestEnginewithMaxSamples (Size samples)
 
MakeMCEverestEnginewithSeed (BigNatural seed)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Private Attributes

ext::shared_ptr< StochasticProcessArrayprocess_
 
bool brownianBridge_ = false
 
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::MakeMCEverestEngine< RNG, S >

Monte Carlo Everest-option engine factory.

Definition at line 103 of file mceverestengine.hpp.

Constructor & Destructor Documentation

◆ MakeMCEverestEngine()

MakeMCEverestEngine ( ext::shared_ptr< StochasticProcessArray process)
explicit

Definition at line 210 of file mceverestengine.hpp.

Member Function Documentation

◆ withSteps()

MakeMCEverestEngine< RNG, S > & withSteps ( Size  steps)

Definition at line 217 of file mceverestengine.hpp.

◆ withStepsPerYear()

MakeMCEverestEngine< RNG, S > & withStepsPerYear ( Size  steps)

Definition at line 224 of file mceverestengine.hpp.

◆ withBrownianBridge()

MakeMCEverestEngine< RNG, S > & withBrownianBridge ( bool  b = true)

Definition at line 231 of file mceverestengine.hpp.

◆ withAntitheticVariate()

MakeMCEverestEngine< RNG, S > & withAntitheticVariate ( bool  b = true)

Definition at line 238 of file mceverestengine.hpp.

◆ withSamples()

MakeMCEverestEngine< RNG, S > & withSamples ( Size  samples)

Definition at line 245 of file mceverestengine.hpp.

◆ withAbsoluteTolerance()

MakeMCEverestEngine< RNG, S > & withAbsoluteTolerance ( Real  tolerance)

Definition at line 254 of file mceverestengine.hpp.

◆ withMaxSamples()

MakeMCEverestEngine< RNG, S > & withMaxSamples ( Size  samples)

Definition at line 266 of file mceverestengine.hpp.

◆ withSeed()

MakeMCEverestEngine< RNG, S > & withSeed ( BigNatural  seed)

Definition at line 273 of file mceverestengine.hpp.

◆ operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 280 of file mceverestengine.hpp.

Member Data Documentation

◆ process_

ext::shared_ptr<StochasticProcessArray> process_
private

Definition at line 118 of file mceverestengine.hpp.

◆ brownianBridge_

bool brownianBridge_ = false
private

Definition at line 119 of file mceverestengine.hpp.

◆ antithetic_

bool antithetic_ = false
private

Definition at line 119 of file mceverestengine.hpp.

◆ steps_

Size steps_
private

Definition at line 120 of file mceverestengine.hpp.

◆ stepsPerYear_

Size stepsPerYear_
private

Definition at line 120 of file mceverestengine.hpp.

◆ samples_

Size samples_
private

Definition at line 120 of file mceverestengine.hpp.

◆ maxSamples_

Size maxSamples_
private

Definition at line 120 of file mceverestengine.hpp.

◆ tolerance_

Real tolerance_
private

Definition at line 121 of file mceverestengine.hpp.

◆ seed_

BigNatural seed_ = 0
private

Definition at line 122 of file mceverestengine.hpp.