MakeMCHestonHullWhiteEngine< RNG, S > Class Template Reference

Monte Carlo Heston/Hull-White engine factory. More...

#include <ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp>

Collaboration diagram for MakeMCHestonHullWhiteEngine< RNG, S >:

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

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

Detailed Description

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

Monte Carlo Heston/Hull-White engine factory.

Definition at line 72 of file mchestonhullwhiteengine.hpp.

Constructor & Destructor Documentation

MakeMCHestonHullWhiteEngine()

MakeMCHestonHullWhiteEngine ( ext::shared_ptr< HybridHestonHullWhiteProcess >  process )

explicit

Definition at line 224 of file mchestonhullwhiteengine.hpp.

Member Function Documentation

withSteps()

MakeMCHestonHullWhiteEngine< RNG, S > & withSteps

(

Size

steps

)

Definition at line 231 of file mchestonhullwhiteengine.hpp.

withStepsPerYear()

MakeMCHestonHullWhiteEngine< RNG, S > & withStepsPerYear

(

Size

steps

)

Definition at line 238 of file mchestonhullwhiteengine.hpp.

withAntitheticVariate()

MakeMCHestonHullWhiteEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 245 of file mchestonhullwhiteengine.hpp.

withControlVariate()

MakeMCHestonHullWhiteEngine< RNG, S > & withControlVariate

(

bool

b = true

)

Definition at line 252 of file mchestonhullwhiteengine.hpp.

withSamples()

MakeMCHestonHullWhiteEngine< RNG, S > & withSamples

(

Size

samples

)

Definition at line 259 of file mchestonhullwhiteengine.hpp.

withAbsoluteTolerance()

MakeMCHestonHullWhiteEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 268 of file mchestonhullwhiteengine.hpp.

withMaxSamples()

MakeMCHestonHullWhiteEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 280 of file mchestonhullwhiteengine.hpp.

withSeed()

MakeMCHestonHullWhiteEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 287 of file mchestonhullwhiteengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 294 of file mchestonhullwhiteengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<HybridHestonHullWhiteProcess> process_

private

Definition at line 87 of file mchestonhullwhiteengine.hpp.

steps_

Size steps_

private

Definition at line 88 of file mchestonhullwhiteengine.hpp.

stepsPerYear_

Size stepsPerYear_

private

Definition at line 88 of file mchestonhullwhiteengine.hpp.

samples_

Size samples_

private

Definition at line 88 of file mchestonhullwhiteengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 88 of file mchestonhullwhiteengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 89 of file mchestonhullwhiteengine.hpp.

controlVariate_

bool controlVariate_ = false

private

Definition at line 89 of file mchestonhullwhiteengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 90 of file mchestonhullwhiteengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 91 of file mchestonhullwhiteengine.hpp.