QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Monte Carlo American basket-option engine factory. More...
#include <mcamericanpathengine.hpp>
Public Member Functions | |
MakeMCAmericanPathEngine (ext::shared_ptr< StochasticProcessArray >) | |
MakeMCAmericanPathEngine & | withSteps (Size steps) |
MakeMCAmericanPathEngine & | withStepsPerYear (Size steps) |
MakeMCAmericanPathEngine & | withBrownianBridge (bool b=true) |
MakeMCAmericanPathEngine & | withAntitheticVariate (bool b=true) |
MakeMCAmericanPathEngine & | withControlVariate (bool b=true) |
MakeMCAmericanPathEngine & | withSamples (Size samples) |
MakeMCAmericanPathEngine & | withAbsoluteTolerance (Real tolerance) |
MakeMCAmericanPathEngine & | withMaxSamples (Size samples) |
MakeMCAmericanPathEngine & | withSeed (BigNatural seed) |
MakeMCAmericanPathEngine & | withCalibrationSamples (Size samples) |
operator ext::shared_ptr< PricingEngine > () const | |
Private Attributes | |
ext::shared_ptr< StochasticProcessArray > | process_ |
bool | brownianBridge_ |
bool | antithetic_ |
bool | controlVariate_ |
Size | steps_ |
Size | stepsPerYear_ |
Size | samples_ |
Size | maxSamples_ |
Size | calibrationSamples_ |
Real | tolerance_ |
BigNatural | seed_ |
Monte Carlo American basket-option engine factory.
Definition at line 63 of file mcamericanpathengine.hpp.
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explicit |
Definition at line 165 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withSteps | ( | Size | steps | ) |
Definition at line 174 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withStepsPerYear | ( | Size | steps | ) |
Definition at line 181 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withBrownianBridge | ( | bool | b = true | ) |
Definition at line 188 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withAntitheticVariate | ( | bool | b = true | ) |
Definition at line 195 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withControlVariate | ( | bool | b = true | ) |
Definition at line 202 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withSamples | ( | Size | samples | ) |
Definition at line 209 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withAbsoluteTolerance | ( | Real | tolerance | ) |
Definition at line 218 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withMaxSamples | ( | Size | samples | ) |
Definition at line 230 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withSeed | ( | BigNatural | seed | ) |
Definition at line 237 of file mcamericanpathengine.hpp.
MakeMCAmericanPathEngine< RNG > & withCalibrationSamples | ( | Size | samples | ) |
Definition at line 244 of file mcamericanpathengine.hpp.
operator ext::shared_ptr< PricingEngine > |
Definition at line 251 of file mcamericanpathengine.hpp.
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private |
Definition at line 80 of file mcamericanpathengine.hpp.
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private |
Definition at line 81 of file mcamericanpathengine.hpp.
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private |
Definition at line 81 of file mcamericanpathengine.hpp.
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private |
Definition at line 81 of file mcamericanpathengine.hpp.
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private |
Definition at line 82 of file mcamericanpathengine.hpp.
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private |
Definition at line 82 of file mcamericanpathengine.hpp.
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private |
Definition at line 82 of file mcamericanpathengine.hpp.
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private |
Definition at line 82 of file mcamericanpathengine.hpp.
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private |
Definition at line 82 of file mcamericanpathengine.hpp.
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private |
Definition at line 83 of file mcamericanpathengine.hpp.
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private |
Definition at line 84 of file mcamericanpathengine.hpp.