Monte Carlo Path Basket engine factory. More...
#include <ql/experimental/mcbasket/mcpathbasketengine.hpp>
Collaboration diagram for MakeMCPathBasketEngine< RNG, S >:
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 |
Detailed Description
class QuantLib::MakeMCPathBasketEngine< RNG, S >
Monte Carlo Path Basket engine factory.
Definition at line 223 of file mcpathbasketengine.hpp.
Constructor & Destructor Documentation
◆ MakeMCPathBasketEngine()
|
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_
|
private |
Definition at line 239 of file mcpathbasketengine.hpp.
◆ antithetic_
|
private |
Definition at line 240 of file mcpathbasketengine.hpp.
◆ controlVariate_
|
private |
Definition at line 240 of file mcpathbasketengine.hpp.
◆ steps_
|
private |
Definition at line 241 of file mcpathbasketengine.hpp.
◆ stepsPerYear_
|
private |
Definition at line 241 of file mcpathbasketengine.hpp.
◆ samples_
|
private |
Definition at line 241 of file mcpathbasketengine.hpp.
◆ maxSamples_
|
private |
Definition at line 241 of file mcpathbasketengine.hpp.
◆ tolerance_
|
private |
Definition at line 242 of file mcpathbasketengine.hpp.
◆ brownianBridge_
|
private |
Definition at line 243 of file mcpathbasketengine.hpp.
◆ seed_
|
private |
Definition at line 244 of file mcpathbasketengine.hpp.