QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Monte Carlo Heston European engine factory. More...
#include <mceuropeanhestonengine.hpp>
Public Member Functions | |
MakeMCEuropeanHestonEngine (ext::shared_ptr< P >) | |
MakeMCEuropeanHestonEngine & | withSteps (Size steps) |
MakeMCEuropeanHestonEngine & | withStepsPerYear (Size steps) |
MakeMCEuropeanHestonEngine & | withSamples (Size samples) |
MakeMCEuropeanHestonEngine & | withAbsoluteTolerance (Real tolerance) |
MakeMCEuropeanHestonEngine & | withMaxSamples (Size samples) |
MakeMCEuropeanHestonEngine & | withSeed (BigNatural seed) |
MakeMCEuropeanHestonEngine & | withAntitheticVariate (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 |
Monte Carlo Heston European engine factory.
Definition at line 62 of file mceuropeanhestonengine.hpp.
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explicit |
Definition at line 136 of file mceuropeanhestonengine.hpp.
MakeMCEuropeanHestonEngine< RNG, S, P > & withSteps | ( | Size | steps | ) |
Definition at line 143 of file mceuropeanhestonengine.hpp.
MakeMCEuropeanHestonEngine< RNG, S, P > & withStepsPerYear | ( | Size | steps | ) |
Definition at line 152 of file mceuropeanhestonengine.hpp.
MakeMCEuropeanHestonEngine< RNG, S, P > & withSamples | ( | Size | samples | ) |
Definition at line 161 of file mceuropeanhestonengine.hpp.
MakeMCEuropeanHestonEngine< RNG, S, P > & withAbsoluteTolerance | ( | Real | tolerance | ) |
Definition at line 170 of file mceuropeanhestonengine.hpp.
MakeMCEuropeanHestonEngine< RNG, S, P > & withMaxSamples | ( | Size | samples | ) |
Definition at line 182 of file mceuropeanhestonengine.hpp.
MakeMCEuropeanHestonEngine< RNG, S, P > & withSeed | ( | BigNatural | seed | ) |
Definition at line 189 of file mceuropeanhestonengine.hpp.
MakeMCEuropeanHestonEngine< RNG, S, P > & withAntitheticVariate | ( | bool | b = true | ) |
Definition at line 196 of file mceuropeanhestonengine.hpp.
operator ext::shared_ptr< PricingEngine > |
Definition at line 203 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 76 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 77 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 78 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 78 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 78 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 78 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 79 of file mceuropeanhestonengine.hpp.
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private |
Definition at line 80 of file mceuropeanhestonengine.hpp.