QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Monte Carlo Path Basket engine factory. More...
#include <mcpathbasketengine.hpp>
Public Member Functions | |
MakeMCPathBasketEngine (ext::shared_ptr< StochasticProcessArray >) | |
MakeMCPathBasketEngine & | withSteps (Size steps) |
MakeMCPathBasketEngine & | withStepsPerYear (Size steps) |
MakeMCPathBasketEngine & | withBrownianBridge (bool b=true) |
MakeMCPathBasketEngine & | withSamples (Size samples) |
MakeMCPathBasketEngine & | withAbsoluteTolerance (Real tolerance) |
MakeMCPathBasketEngine & | withMaxSamples (Size samples) |
MakeMCPathBasketEngine & | withSeed (BigNatural seed) |
MakeMCPathBasketEngine & | withAntitheticVariate (bool b=true) |
MakeMCPathBasketEngine & | withControlVariate (bool b=true) |
operator ext::shared_ptr< PricingEngine > () const | |
Private Attributes | |
ext::shared_ptr< StochasticProcessArray > | process_ |
bool | antithetic_ = false |
bool | controlVariate_ = false |
Size | steps_ |
Size | stepsPerYear_ |
Size | samples_ |
Size | maxSamples_ |
Real | tolerance_ |
bool | brownianBridge_ = false |
BigNatural | seed_ = 0 |
Monte Carlo Path Basket engine factory.
Definition at line 223 of file mcpathbasketengine.hpp.
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explicit |
Definition at line 248 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withSteps | ( | Size | steps | ) |
Definition at line 255 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withStepsPerYear | ( | Size | steps | ) |
Definition at line 262 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withBrownianBridge | ( | bool | b = true | ) |
Definition at line 304 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withSamples | ( | Size | samples | ) |
Definition at line 269 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withAbsoluteTolerance | ( | Real | tolerance | ) |
Definition at line 278 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withMaxSamples | ( | Size | samples | ) |
Definition at line 290 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withSeed | ( | BigNatural | seed | ) |
Definition at line 297 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withAntitheticVariate | ( | bool | b = true | ) |
Definition at line 311 of file mcpathbasketengine.hpp.
MakeMCPathBasketEngine< RNG, S > & withControlVariate | ( | bool | b = true | ) |
Definition at line 318 of file mcpathbasketengine.hpp.
operator ext::shared_ptr< PricingEngine > |
Definition at line 325 of file mcpathbasketengine.hpp.
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private |
Definition at line 239 of file mcpathbasketengine.hpp.
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private |
Definition at line 240 of file mcpathbasketengine.hpp.
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private |
Definition at line 240 of file mcpathbasketengine.hpp.
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private |
Definition at line 241 of file mcpathbasketengine.hpp.
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private |
Definition at line 241 of file mcpathbasketengine.hpp.
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private |
Definition at line 241 of file mcpathbasketengine.hpp.
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private |
Definition at line 241 of file mcpathbasketengine.hpp.
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private |
Definition at line 242 of file mcpathbasketengine.hpp.
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private |
Definition at line 243 of file mcpathbasketengine.hpp.
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private |
Definition at line 244 of file mcpathbasketengine.hpp.