QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Public Member Functions | Private Attributes | List of all members
MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > Class Template Reference

#include <ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp>

+ Collaboration diagram for MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P >:

Public Member Functions

 MakeMCDiscreteArithmeticAPHestonEngine (ext::shared_ptr< P > process)
 
MakeMCDiscreteArithmeticAPHestonEnginewithSamples (Size samples)
 
MakeMCDiscreteArithmeticAPHestonEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCDiscreteArithmeticAPHestonEnginewithMaxSamples (Size samples)
 
MakeMCDiscreteArithmeticAPHestonEnginewithSeed (BigNatural seed)
 
MakeMCDiscreteArithmeticAPHestonEnginewithAntitheticVariate (bool b=true)
 
MakeMCDiscreteArithmeticAPHestonEnginewithSteps (Size steps)
 
MakeMCDiscreteArithmeticAPHestonEnginewithStepsPerYear (Size steps)
 
MakeMCDiscreteArithmeticAPHestonEnginewithControlVariate (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
 

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics, class P = HestonProcess>
class QuantLib::MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P >

Definition at line 85 of file mc_discr_arith_av_price_heston.hpp.

Constructor & Destructor Documentation

◆ MakeMCDiscreteArithmeticAPHestonEngine()

MakeMCDiscreteArithmeticAPHestonEngine ( ext::shared_ptr< P >  process)
explicit

Definition at line 237 of file mc_discr_arith_av_price_heston.hpp.

Member Function Documentation

◆ withSamples()

MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withSamples ( Size  samples)

Definition at line 244 of file mc_discr_arith_av_price_heston.hpp.

◆ withAbsoluteTolerance()

MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withAbsoluteTolerance ( Real  tolerance)

Definition at line 253 of file mc_discr_arith_av_price_heston.hpp.

◆ withMaxSamples()

MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withMaxSamples ( Size  samples)

Definition at line 266 of file mc_discr_arith_av_price_heston.hpp.

◆ withSeed()

MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withSeed ( BigNatural  seed)

Definition at line 273 of file mc_discr_arith_av_price_heston.hpp.

◆ withAntitheticVariate()

MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withAntitheticVariate ( bool  b = true)

Definition at line 280 of file mc_discr_arith_av_price_heston.hpp.

◆ withSteps()

MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withSteps ( Size  steps)

Definition at line 287 of file mc_discr_arith_av_price_heston.hpp.

◆ withStepsPerYear()

MakeMCDiscreteArithmeticAPHestonEngine< RNG, S, P > & withStepsPerYear ( Size  steps)

Definition at line 296 of file mc_discr_arith_av_price_heston.hpp.

◆ withControlVariate()

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 >()

operator ext::shared_ptr< PricingEngine >

Definition at line 311 of file mc_discr_arith_av_price_heston.hpp.

Member Data Documentation

◆ process_

ext::shared_ptr<P> process_
private

Definition at line 100 of file mc_discr_arith_av_price_heston.hpp.

◆ antithetic_

bool antithetic_ = false
private

Definition at line 101 of file mc_discr_arith_av_price_heston.hpp.

◆ controlVariate_

bool controlVariate_ = false
private

Definition at line 101 of file mc_discr_arith_av_price_heston.hpp.

◆ samples_

Size samples_
private

Definition at line 102 of file mc_discr_arith_av_price_heston.hpp.

◆ maxSamples_

Size maxSamples_
private

Definition at line 102 of file mc_discr_arith_av_price_heston.hpp.

◆ steps_

Size steps_
private

Definition at line 102 of file mc_discr_arith_av_price_heston.hpp.

◆ stepsPerYear_

Size stepsPerYear_
private

Definition at line 102 of file mc_discr_arith_av_price_heston.hpp.

◆ tolerance_

Real tolerance_
private

Definition at line 103 of file mc_discr_arith_av_price_heston.hpp.

◆ seed_

BigNatural seed_ = 0
private

Definition at line 104 of file mc_discr_arith_av_price_heston.hpp.