MakeMCAmericanPathEngine< RNG > Class Template Reference

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

#include <ql/experimental/mcbasket/mcamericanpathengine.hpp>

Collaboration diagram for MakeMCAmericanPathEngine< RNG >:

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_

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.