MakeMCEverestEngine< RNG, S > Class Template Reference

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

#include <mceverestengine.hpp>

Collaboration diagram for MakeMCEverestEngine< RNG, S >:

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

Private Attributes
ext::shared_ptr< StochasticProcessArray >	process_
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.