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QuantLib_MakeMCAmericanEngine
Langue: en
Version: 380545 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MakeMCAmericanEngine -Monte Carlo American engine factory.
SYNOPSIS
#include <ql/pricingengines/vanilla/mcamericanengine.hpp>
Public Member Functions
MakeMCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
MakeMCAmericanEngine & withSteps (Size steps)
MakeMCAmericanEngine & withStepsPerYear (Size steps)
MakeMCAmericanEngine & withSamples (Size samples)
MakeMCAmericanEngine & withAbsoluteTolerance (Real tolerance)
MakeMCAmericanEngine & withMaxSamples (Size samples)
MakeMCAmericanEngine & withSeed (BigNatural seed)
MakeMCAmericanEngine & withAntitheticVariate (bool b=true)
MakeMCAmericanEngine & withControlVariate (bool b=true)
MakeMCAmericanEngine & withPolynomOrder (Size polynomOrer)
MakeMCAmericanEngine & withBasisSystem (LsmBasisSystem::PolynomType)
MakeMCAmericanEngine & withCalibrationSamples (Size calibrationSamples)
operator boost::shared_ptr< PricingEngine > () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCAmericanEngine< RNG, S >
Monte Carlo American engine factory.Examples:
EquityOption.cpp.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre