QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp>
Public Member Functions | |
MakeMCForwardEuropeanHestonEngine (ext::shared_ptr< P > process) | |
MakeMCForwardEuropeanHestonEngine & | withSteps (Size steps) |
MakeMCForwardEuropeanHestonEngine & | withStepsPerYear (Size steps) |
MakeMCForwardEuropeanHestonEngine & | withSamples (Size samples) |
MakeMCForwardEuropeanHestonEngine & | withAbsoluteTolerance (Real tolerance) |
MakeMCForwardEuropeanHestonEngine & | withMaxSamples (Size samples) |
MakeMCForwardEuropeanHestonEngine & | withSeed (BigNatural seed) |
MakeMCForwardEuropeanHestonEngine & | withAntitheticVariate (bool b=true) |
MakeMCForwardEuropeanHestonEngine & | withControlVariate (bool b=false) |
operator ext::shared_ptr< PricingEngine > () const | |
Private Attributes | |
ext::shared_ptr< P > | process_ |
bool | antithetic_ = false |
bool | controlVariate_ = false |
Size | steps_ |
Size | stepsPerYear_ |
Size | samples_ |
Size | maxSamples_ |
Real | tolerance_ |
BigNatural | seed_ = 0 |
Definition at line 89 of file mcforwardeuropeanhestonengine.hpp.
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explicit |
Definition at line 220 of file mcforwardeuropeanhestonengine.hpp.
MakeMCForwardEuropeanHestonEngine< RNG, S, P > & withSteps | ( | Size | steps | ) |
Definition at line 227 of file mcforwardeuropeanhestonengine.hpp.
MakeMCForwardEuropeanHestonEngine< RNG, S, P > & withStepsPerYear | ( | Size | steps | ) |
Definition at line 234 of file mcforwardeuropeanhestonengine.hpp.
MakeMCForwardEuropeanHestonEngine< RNG, S, P > & withSamples | ( | Size | samples | ) |
Definition at line 241 of file mcforwardeuropeanhestonengine.hpp.
MakeMCForwardEuropeanHestonEngine< RNG, S, P > & withAbsoluteTolerance | ( | Real | tolerance | ) |
Definition at line 250 of file mcforwardeuropeanhestonengine.hpp.
MakeMCForwardEuropeanHestonEngine< RNG, S, P > & withMaxSamples | ( | Size | samples | ) |
Definition at line 263 of file mcforwardeuropeanhestonengine.hpp.
MakeMCForwardEuropeanHestonEngine< RNG, S, P > & withSeed | ( | BigNatural | seed | ) |
Definition at line 270 of file mcforwardeuropeanhestonengine.hpp.
MakeMCForwardEuropeanHestonEngine< RNG, S, P > & withAntitheticVariate | ( | bool | b = true | ) |
Definition at line 277 of file mcforwardeuropeanhestonengine.hpp.
MakeMCForwardEuropeanHestonEngine< RNG, S, P > & withControlVariate | ( | bool | b = false | ) |
Definition at line 284 of file mcforwardeuropeanhestonengine.hpp.
operator ext::shared_ptr< PricingEngine > |
Definition at line 290 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 104 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 105 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 105 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 106 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 106 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 106 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 106 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 107 of file mcforwardeuropeanhestonengine.hpp.
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private |
Definition at line 108 of file mcforwardeuropeanhestonengine.hpp.