QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp>
Public Member Functions | |
MakeMCDiscreteArithmeticAPHestonEngine (ext::shared_ptr< P > process) | |
MakeMCDiscreteArithmeticAPHestonEngine & | withSamples (Size samples) |
MakeMCDiscreteArithmeticAPHestonEngine & | withAbsoluteTolerance (Real tolerance) |
MakeMCDiscreteArithmeticAPHestonEngine & | withMaxSamples (Size samples) |
MakeMCDiscreteArithmeticAPHestonEngine & | withSeed (BigNatural seed) |
MakeMCDiscreteArithmeticAPHestonEngine & | withAntitheticVariate (bool b=true) |
MakeMCDiscreteArithmeticAPHestonEngine & | withSteps (Size steps) |
MakeMCDiscreteArithmeticAPHestonEngine & | withStepsPerYear (Size steps) |
MakeMCDiscreteArithmeticAPHestonEngine & | withControlVariate (bool b=false) |
operator ext::shared_ptr< PricingEngine > () const | |
Private Attributes | |
ext::shared_ptr< P > | process_ |
bool | antithetic_ = false |
bool | controlVariate_ = false |
Size | samples_ |
Size | maxSamples_ |
Size | steps_ |
Size | stepsPerYear_ |
Real | tolerance_ |
BigNatural | seed_ = 0 |
Definition at line 85 of file mc_discr_arith_av_price_heston.hpp.
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explicit |
Definition at line 237 of file mc_discr_arith_av_price_heston.hpp.
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withSamples | ( | Size | samples | ) |
Definition at line 244 of file mc_discr_arith_av_price_heston.hpp.
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withAbsoluteTolerance | ( | Real | tolerance | ) |
Definition at line 253 of file mc_discr_arith_av_price_heston.hpp.
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withMaxSamples | ( | Size | samples | ) |
Definition at line 266 of file mc_discr_arith_av_price_heston.hpp.
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withSeed | ( | BigNatural | seed | ) |
Definition at line 273 of file mc_discr_arith_av_price_heston.hpp.
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withAntitheticVariate | ( | bool | b = true | ) |
Definition at line 280 of file mc_discr_arith_av_price_heston.hpp.
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withSteps | ( | Size | steps | ) |
Definition at line 287 of file mc_discr_arith_av_price_heston.hpp.
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withStepsPerYear | ( | Size | steps | ) |
Definition at line 296 of file mc_discr_arith_av_price_heston.hpp.
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withControlVariate | ( | bool | b = false | ) |
Definition at line 305 of file mc_discr_arith_av_price_heston.hpp.
operator ext::shared_ptr< PricingEngine > |
Definition at line 311 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 100 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 101 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 101 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 102 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 102 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 102 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 102 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 103 of file mc_discr_arith_av_price_heston.hpp.
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private |
Definition at line 104 of file mc_discr_arith_av_price_heston.hpp.