QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
MakeMCPathBasketEngine< RNG, S > Class Template Reference

Monte Carlo Path Basket engine factory. More...

#include <mcpathbasketengine.hpp>

+ Collaboration diagram for MakeMCPathBasketEngine< RNG, S >:

Public Member Functions

 MakeMCPathBasketEngine (ext::shared_ptr< StochasticProcessArray >)
 
MakeMCPathBasketEnginewithSteps (Size steps)
 
MakeMCPathBasketEnginewithStepsPerYear (Size steps)
 
MakeMCPathBasketEnginewithBrownianBridge (bool b=true)
 
MakeMCPathBasketEnginewithSamples (Size samples)
 
MakeMCPathBasketEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCPathBasketEnginewithMaxSamples (Size samples)
 
MakeMCPathBasketEnginewithSeed (BigNatural seed)
 
MakeMCPathBasketEnginewithAntitheticVariate (bool b=true)
 
MakeMCPathBasketEnginewithControlVariate (bool b=true)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Private Attributes

ext::shared_ptr< StochasticProcessArrayprocess_
 
bool antithetic_ = false
 
bool controlVariate_ = 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::MakeMCPathBasketEngine< RNG, S >

Monte Carlo Path Basket engine factory.

Definition at line 223 of file mcpathbasketengine.hpp.

Constructor & Destructor Documentation

◆ MakeMCPathBasketEngine()

MakeMCPathBasketEngine ( ext::shared_ptr< StochasticProcessArray process)
explicit

Definition at line 248 of file mcpathbasketengine.hpp.

Member Function Documentation

◆ withSteps()

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

Definition at line 255 of file mcpathbasketengine.hpp.

◆ withStepsPerYear()

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

Definition at line 262 of file mcpathbasketengine.hpp.

◆ withBrownianBridge()

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

Definition at line 304 of file mcpathbasketengine.hpp.

◆ withSamples()

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

Definition at line 269 of file mcpathbasketengine.hpp.

◆ withAbsoluteTolerance()

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

Definition at line 278 of file mcpathbasketengine.hpp.

◆ withMaxSamples()

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

Definition at line 290 of file mcpathbasketengine.hpp.

◆ withSeed()

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

Definition at line 297 of file mcpathbasketengine.hpp.

◆ withAntitheticVariate()

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

Definition at line 311 of file mcpathbasketengine.hpp.

◆ withControlVariate()

MakeMCPathBasketEngine< RNG, S > & withControlVariate ( bool  b = true)

Definition at line 318 of file mcpathbasketengine.hpp.

◆ operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 325 of file mcpathbasketengine.hpp.

Member Data Documentation

◆ process_

ext::shared_ptr<StochasticProcessArray> process_
private

Definition at line 239 of file mcpathbasketengine.hpp.

◆ antithetic_

bool antithetic_ = false
private

Definition at line 240 of file mcpathbasketengine.hpp.

◆ controlVariate_

bool controlVariate_ = false
private

Definition at line 240 of file mcpathbasketengine.hpp.

◆ steps_

Size steps_
private

Definition at line 241 of file mcpathbasketengine.hpp.

◆ stepsPerYear_

Size stepsPerYear_
private

Definition at line 241 of file mcpathbasketengine.hpp.

◆ samples_

Size samples_
private

Definition at line 241 of file mcpathbasketengine.hpp.

◆ maxSamples_

Size maxSamples_
private

Definition at line 241 of file mcpathbasketengine.hpp.

◆ tolerance_

Real tolerance_
private

Definition at line 242 of file mcpathbasketengine.hpp.

◆ brownianBridge_

bool brownianBridge_ = false
private

Definition at line 243 of file mcpathbasketengine.hpp.

◆ seed_

BigNatural seed_ = 0
private

Definition at line 244 of file mcpathbasketengine.hpp.