MakeMCEuropeanHestonEngine< RNG, S, P > Class Template Reference

Monte Carlo Heston European engine factory. More...

#include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>

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

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

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.