MakeMCAmericanBasketEngine< RNG > Class Template Reference

Monte Carlo American basket-option engine factory. More...

#include <mcamericanbasketengine.hpp>

Collaboration diagram for MakeMCAmericanBasketEngine< RNG >:

Public Member Functions
	MakeMCAmericanBasketEngine (ext::shared_ptr< StochasticProcessArray >)
MakeMCAmericanBasketEngine &	withSteps (Size steps)
MakeMCAmericanBasketEngine &	withStepsPerYear (Size steps)
MakeMCAmericanBasketEngine &	withBrownianBridge (bool b=true)
MakeMCAmericanBasketEngine &	withAntitheticVariate (bool b=true)
MakeMCAmericanBasketEngine &	withSamples (Size samples)
MakeMCAmericanBasketEngine &	withAbsoluteTolerance (Real tolerance)
MakeMCAmericanBasketEngine &	withMaxSamples (Size samples)
MakeMCAmericanBasketEngine &	withSeed (BigNatural seed)
MakeMCAmericanBasketEngine &	withCalibrationSamples (Size samples)
MakeMCAmericanBasketEngine &	withPolynomialOrder (Size polynmOrder)
MakeMCAmericanBasketEngine &	withBasisSystem (LsmBasisSystem::PolynomialType polynomialType)
	operator ext::shared_ptr< PricingEngine > () const

Private Attributes
ext::shared_ptr< StochasticProcessArray >	process_
bool	brownianBridge_ = false
bool	antithetic_ = false
Size	steps_
Size	stepsPerYear_
Size	samples_
Size	maxSamples_
Size	calibrationSamples_
Size	polynomialOrder_ = 2
LsmBasisSystem::PolynomialType	polynomialType_ = LsmBasisSystem::Monomial
Real	tolerance_
BigNatural	seed_ = 0

Detailed Description

template<class RNG = PseudoRandom>
class QuantLib::MakeMCAmericanBasketEngine< RNG >

Monte Carlo American basket-option engine factory.

Definition at line 75 of file mcamericanbasketengine.hpp.

Constructor & Destructor Documentation

MakeMCAmericanBasketEngine()

MakeMCAmericanBasketEngine

(

ext::shared_ptr< StochasticProcessArray >

process

)

Definition at line 193 of file mcamericanbasketengine.hpp.

Member Function Documentation

withSteps()

MakeMCAmericanBasketEngine< RNG > & withSteps

(

Size

steps

)

Definition at line 201 of file mcamericanbasketengine.hpp.

withStepsPerYear()

MakeMCAmericanBasketEngine< RNG > & withStepsPerYear

(

Size

steps

)

Definition at line 208 of file mcamericanbasketengine.hpp.

withBrownianBridge()

MakeMCAmericanBasketEngine< RNG > & withBrownianBridge

(

bool

b = true

)

Definition at line 215 of file mcamericanbasketengine.hpp.

withAntitheticVariate()

MakeMCAmericanBasketEngine< RNG > & withAntitheticVariate

(

bool

b = true

)

Definition at line 222 of file mcamericanbasketengine.hpp.

withSamples()

MakeMCAmericanBasketEngine< RNG > & withSamples

(

Size

samples

)

Definition at line 229 of file mcamericanbasketengine.hpp.

withAbsoluteTolerance()

MakeMCAmericanBasketEngine< RNG > & withAbsoluteTolerance

(

Real

tolerance

)

Definition at line 238 of file mcamericanbasketengine.hpp.

withMaxSamples()

MakeMCAmericanBasketEngine< RNG > & withMaxSamples

(

Size

samples

)

Definition at line 250 of file mcamericanbasketengine.hpp.

withSeed()

MakeMCAmericanBasketEngine< RNG > & withSeed

(

BigNatural

seed

)

Definition at line 257 of file mcamericanbasketengine.hpp.

withCalibrationSamples()

MakeMCAmericanBasketEngine< RNG > & withCalibrationSamples

(

Size

samples

)

Definition at line 264 of file mcamericanbasketengine.hpp.

withPolynomialOrder()

MakeMCAmericanBasketEngine< RNG > & withPolynomialOrder

(

Size

polynmOrder

)

Definition at line 271 of file mcamericanbasketengine.hpp.

withBasisSystem()

MakeMCAmericanBasketEngine< RNG > & withBasisSystem

(

LsmBasisSystem::PolynomialType

polynomialType

)

Definition at line 278 of file mcamericanbasketengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 285 of file mcamericanbasketengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<StochasticProcessArray> process_

private

Definition at line 94 of file mcamericanbasketengine.hpp.

brownianBridge_

bool brownianBridge_ = false

private

Definition at line 95 of file mcamericanbasketengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 95 of file mcamericanbasketengine.hpp.

steps_

Size steps_

private

Definition at line 96 of file mcamericanbasketengine.hpp.

stepsPerYear_

Size stepsPerYear_

private

Definition at line 96 of file mcamericanbasketengine.hpp.

samples_

Size samples_

private

Definition at line 96 of file mcamericanbasketengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 96 of file mcamericanbasketengine.hpp.

calibrationSamples_

Size calibrationSamples_

private

Definition at line 96 of file mcamericanbasketengine.hpp.

polynomialOrder_

Size polynomialOrder_ = 2

private

Definition at line 97 of file mcamericanbasketengine.hpp.

polynomialType_

LsmBasisSystem::PolynomialType polynomialType_ = LsmBasisSystem::Monomial

private

Definition at line 98 of file mcamericanbasketengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 99 of file mcamericanbasketengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 100 of file mcamericanbasketengine.hpp.