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
MakeMCEuropeanHestonEngine< RNG, S, P > Class Template Reference

Monte Carlo Heston European engine factory. More...

#include <mceuropeanhestonengine.hpp>

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

Public Member Functions

 MakeMCEuropeanHestonEngine (ext::shared_ptr< P >)
 
MakeMCEuropeanHestonEnginewithSteps (Size steps)
 
MakeMCEuropeanHestonEnginewithStepsPerYear (Size steps)
 
MakeMCEuropeanHestonEnginewithSamples (Size samples)
 
MakeMCEuropeanHestonEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCEuropeanHestonEnginewithMaxSamples (Size samples)
 
MakeMCEuropeanHestonEnginewithSeed (BigNatural seed)
 
MakeMCEuropeanHestonEnginewithAntitheticVariate (bool b=true)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Private Attributes

ext::shared_ptr< P > process_
 
bool antithetic_ = false
 
Size steps_
 
Size stepsPerYear_
 
Size samples_
 
Size maxSamples_
 
Real tolerance_
 
BigNatural seed_ = 0
 

Detailed Description

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

Monte Carlo Heston European engine factory.

Definition at line 62 of file mceuropeanhestonengine.hpp.

Constructor & Destructor Documentation

◆ MakeMCEuropeanHestonEngine()

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

Definition at line 136 of file mceuropeanhestonengine.hpp.

Member Function Documentation

◆ withSteps()

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

Definition at line 143 of file mceuropeanhestonengine.hpp.

◆ withStepsPerYear()

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

Definition at line 152 of file mceuropeanhestonengine.hpp.

◆ withSamples()

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

Definition at line 161 of file mceuropeanhestonengine.hpp.

◆ withAbsoluteTolerance()

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

Definition at line 170 of file mceuropeanhestonengine.hpp.

◆ withMaxSamples()

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

Definition at line 182 of file mceuropeanhestonengine.hpp.

◆ withSeed()

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

Definition at line 189 of file mceuropeanhestonengine.hpp.

◆ withAntitheticVariate()

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

Definition at line 196 of file mceuropeanhestonengine.hpp.

◆ operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 203 of file mceuropeanhestonengine.hpp.

Member Data Documentation

◆ process_

ext::shared_ptr<P> process_
private

Definition at line 76 of file mceuropeanhestonengine.hpp.

◆ antithetic_

bool antithetic_ = false
private

Definition at line 77 of file mceuropeanhestonengine.hpp.

◆ steps_

Size steps_
private

Definition at line 78 of file mceuropeanhestonengine.hpp.

◆ stepsPerYear_

Size stepsPerYear_
private

Definition at line 78 of file mceuropeanhestonengine.hpp.

◆ samples_

Size samples_
private

Definition at line 78 of file mceuropeanhestonengine.hpp.

◆ maxSamples_

Size maxSamples_
private

Definition at line 78 of file mceuropeanhestonengine.hpp.

◆ tolerance_

Real tolerance_
private

Definition at line 79 of file mceuropeanhestonengine.hpp.

◆ seed_

BigNatural seed_ = 0
private

Definition at line 80 of file mceuropeanhestonengine.hpp.