MakeMCEuropeanEngine< RNG, S > Class Template Reference

Monte Carlo European engine factory. More...

#include <mceuropeanengine.hpp>

Collaboration diagram for MakeMCEuropeanEngine< RNG, S >:

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

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

Detailed Description

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

Monte Carlo European engine factory.

Examples

EquityOption.cpp.

Definition at line 70 of file mceuropeanengine.hpp.

Constructor & Destructor Documentation

MakeMCEuropeanEngine()

MakeMCEuropeanEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 157 of file mceuropeanengine.hpp.

Member Function Documentation

withSteps()

MakeMCEuropeanEngine< RNG, S > & withSteps

(

Size

steps

)

Examples

EquityOption.cpp.

Definition at line 164 of file mceuropeanengine.hpp.

withStepsPerYear()

MakeMCEuropeanEngine< RNG, S > & withStepsPerYear

(

Size

steps

)

Definition at line 171 of file mceuropeanengine.hpp.

withBrownianBridge()

MakeMCEuropeanEngine< RNG, S > & withBrownianBridge

(

bool

b = true

)

Definition at line 213 of file mceuropeanengine.hpp.

withSamples()

MakeMCEuropeanEngine< RNG, S > & withSamples

(

Size

samples

)

Examples

EquityOption.cpp.

Definition at line 178 of file mceuropeanengine.hpp.

withAbsoluteTolerance()

MakeMCEuropeanEngine< RNG, S > & withAbsoluteTolerance

(

Real

tolerance

)

Examples

EquityOption.cpp.

Definition at line 187 of file mceuropeanengine.hpp.

withMaxSamples()

MakeMCEuropeanEngine< RNG, S > & withMaxSamples

(

Size

samples

)

Definition at line 199 of file mceuropeanengine.hpp.

withSeed()

MakeMCEuropeanEngine< RNG, S > & withSeed

(

BigNatural

seed

)

Examples

EquityOption.cpp.

Definition at line 206 of file mceuropeanengine.hpp.

withAntitheticVariate()

MakeMCEuropeanEngine< RNG, S > & withAntitheticVariate

(

bool

b = true

)

Definition at line 220 of file mceuropeanengine.hpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

Definition at line 227 of file mceuropeanengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 85 of file mceuropeanengine.hpp.

antithetic_

bool antithetic_ = false

private

Definition at line 86 of file mceuropeanengine.hpp.

steps_

Size steps_

private

Definition at line 87 of file mceuropeanengine.hpp.

stepsPerYear_

Size stepsPerYear_

private

Definition at line 87 of file mceuropeanengine.hpp.

samples_

Size samples_

private

Definition at line 87 of file mceuropeanengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 87 of file mceuropeanengine.hpp.

tolerance_

Real tolerance_

private

Definition at line 88 of file mceuropeanengine.hpp.

brownianBridge_

bool brownianBridge_ = false

private

Definition at line 89 of file mceuropeanengine.hpp.

seed_

BigNatural seed_ = 0

private

Definition at line 90 of file mceuropeanengine.hpp.