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QuantLib_MCEuropeanGJRGARCHEngine
Langue: en
Version: 378138 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCEuropeanGJRGARCHEngine -Monte Carlo GJR-GARCH-model engine for European options.
SYNOPSIS
#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>
Inherits MCVanillaEngine< MultiVariate, RNG, S >.
Public Types
typedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type
Public Member Functions
MCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
Protected Member Functions
boost::shared_ptr< path_pricer_type > pathPricer () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH-model engine for European options.Tests
- the correctness of the returned value is tested by reproducing results available in web/literature
Author
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