MakeMCHimalayaEngine< RNG, S > Class Template Reference

Monte Carlo Himalaya-option engine factory. More...

#include <mchimalayaengine.hpp>

Collaboration diagram for MakeMCHimalayaEngine< RNG, S >:

Public Member Functions
	MakeMCHimalayaEngine (ext::shared_ptr< StochasticProcessArray >)
MakeMCHimalayaEngine &	withBrownianBridge (bool b=true)
MakeMCHimalayaEngine &	withAntitheticVariate (bool b=true)
MakeMCHimalayaEngine &	withSamples (Size samples)
MakeMCHimalayaEngine &	withAbsoluteTolerance (Real tolerance)
MakeMCHimalayaEngine &	withMaxSamples (Size samples)
MakeMCHimalayaEngine &	withSeed (BigNatural seed)
	operator ext::shared_ptr< PricingEngine > () const

Private Attributes
ext::shared_ptr< StochasticProcessArray >	process_
bool	brownianBridge_ = false
bool	antithetic_ = false
Size	samples_
Size	maxSamples_
Real	tolerance_
BigNatural	seed_ = 0

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MakeMCHimalayaEngine< RNG, S >

Monte Carlo Himalaya-option engine factory.

Definition at line 94 of file mchimalayaengine.hpp.

Constructor & Destructor Documentation

MakeMCHimalayaEngine()

MakeMCHimalayaEngine ( ext::shared_ptr< StochasticProcessArray >  process )

explicit

Definition at line 177 of file mchimalayaengine.hpp.

Member Function Documentation

withBrownianBridge()

MakeMCHimalayaEngine< RNG, S > & withBrownianBridge

(

bool

b = true

)

Definition at line 184 of file mchimalayaengine.hpp.

withAntitheticVariate()

MakeMCHimalayaEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 191 of file mchimalayaengine.hpp.

withSamples()

MakeMCHimalayaEngine< RNG, S > & withSamples

(

Size

samples

)

Definition at line 198 of file mchimalayaengine.hpp.

withAbsoluteTolerance()

MakeMCHimalayaEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 207 of file mchimalayaengine.hpp.

withMaxSamples()

MakeMCHimalayaEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 219 of file mchimalayaengine.hpp.

withSeed()

MakeMCHimalayaEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Definition at line 226 of file mchimalayaengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 233 of file mchimalayaengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<StochasticProcessArray> process_

private

Definition at line 107 of file mchimalayaengine.hpp.

brownianBridge_

bool brownianBridge_ = false

private

Definition at line 108 of file mchimalayaengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 108 of file mchimalayaengine.hpp.

samples_

Size samples_

private

Definition at line 109 of file mchimalayaengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 109 of file mchimalayaengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 110 of file mchimalayaengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 111 of file mchimalayaengine.hpp.