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
MakeMCAmericanPathEngine< RNG > Class Template Reference

Monte Carlo American basket-option engine factory. More...

#include <mcamericanpathengine.hpp>

+ Collaboration diagram for MakeMCAmericanPathEngine< RNG >:

Public Member Functions

 MakeMCAmericanPathEngine (ext::shared_ptr< StochasticProcessArray >)
 
MakeMCAmericanPathEnginewithSteps (Size steps)
 
MakeMCAmericanPathEnginewithStepsPerYear (Size steps)
 
MakeMCAmericanPathEnginewithBrownianBridge (bool b=true)
 
MakeMCAmericanPathEnginewithAntitheticVariate (bool b=true)
 
MakeMCAmericanPathEnginewithControlVariate (bool b=true)
 
MakeMCAmericanPathEnginewithSamples (Size samples)
 
MakeMCAmericanPathEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCAmericanPathEnginewithMaxSamples (Size samples)
 
MakeMCAmericanPathEnginewithSeed (BigNatural seed)
 
MakeMCAmericanPathEnginewithCalibrationSamples (Size samples)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Private Attributes

ext::shared_ptr< StochasticProcessArrayprocess_
 
bool brownianBridge_
 
bool antithetic_
 
bool controlVariate_
 
Size steps_
 
Size stepsPerYear_
 
Size samples_
 
Size maxSamples_
 
Size calibrationSamples_
 
Real tolerance_
 
BigNatural seed_
 

Detailed Description

template<class RNG = PseudoRandom>
class QuantLib::MakeMCAmericanPathEngine< RNG >

Monte Carlo American basket-option engine factory.

Definition at line 63 of file mcamericanpathengine.hpp.

Constructor & Destructor Documentation

◆ MakeMCAmericanPathEngine()

MakeMCAmericanPathEngine ( ext::shared_ptr< StochasticProcessArray process)
explicit

Definition at line 165 of file mcamericanpathengine.hpp.

Member Function Documentation

◆ withSteps()

MakeMCAmericanPathEngine< RNG > & withSteps ( Size  steps)

Definition at line 174 of file mcamericanpathengine.hpp.

◆ withStepsPerYear()

MakeMCAmericanPathEngine< RNG > & withStepsPerYear ( Size  steps)

Definition at line 181 of file mcamericanpathengine.hpp.

◆ withBrownianBridge()

MakeMCAmericanPathEngine< RNG > & withBrownianBridge ( bool  b = true)

Definition at line 188 of file mcamericanpathengine.hpp.

◆ withAntitheticVariate()

MakeMCAmericanPathEngine< RNG > & withAntitheticVariate ( bool  b = true)

Definition at line 195 of file mcamericanpathengine.hpp.

◆ withControlVariate()

MakeMCAmericanPathEngine< RNG > & withControlVariate ( bool  b = true)

Definition at line 202 of file mcamericanpathengine.hpp.

◆ withSamples()

MakeMCAmericanPathEngine< RNG > & withSamples ( Size  samples)

Definition at line 209 of file mcamericanpathengine.hpp.

◆ withAbsoluteTolerance()

MakeMCAmericanPathEngine< RNG > & withAbsoluteTolerance ( Real  tolerance)

Definition at line 218 of file mcamericanpathengine.hpp.

◆ withMaxSamples()

MakeMCAmericanPathEngine< RNG > & withMaxSamples ( Size  samples)

Definition at line 230 of file mcamericanpathengine.hpp.

◆ withSeed()

MakeMCAmericanPathEngine< RNG > & withSeed ( BigNatural  seed)

Definition at line 237 of file mcamericanpathengine.hpp.

◆ withCalibrationSamples()

MakeMCAmericanPathEngine< RNG > & withCalibrationSamples ( Size  samples)

Definition at line 244 of file mcamericanpathengine.hpp.

◆ operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 251 of file mcamericanpathengine.hpp.

Member Data Documentation

◆ process_

ext::shared_ptr<StochasticProcessArray> process_
private

Definition at line 80 of file mcamericanpathengine.hpp.

◆ brownianBridge_

bool brownianBridge_
private

Definition at line 81 of file mcamericanpathengine.hpp.

◆ antithetic_

bool antithetic_
private

Definition at line 81 of file mcamericanpathengine.hpp.

◆ controlVariate_

bool controlVariate_
private

Definition at line 81 of file mcamericanpathengine.hpp.

◆ steps_

Size steps_
private

Definition at line 82 of file mcamericanpathengine.hpp.

◆ stepsPerYear_

Size stepsPerYear_
private

Definition at line 82 of file mcamericanpathengine.hpp.

◆ samples_

Size samples_
private

Definition at line 82 of file mcamericanpathengine.hpp.

◆ maxSamples_

Size maxSamples_
private

Definition at line 82 of file mcamericanpathengine.hpp.

◆ calibrationSamples_

Size calibrationSamples_
private

Definition at line 82 of file mcamericanpathengine.hpp.

◆ tolerance_

Real tolerance_
private

Definition at line 83 of file mcamericanpathengine.hpp.

◆ seed_

BigNatural seed_
private

Definition at line 84 of file mcamericanpathengine.hpp.