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QuantLib_MakeMCBarrierEngine
Langue: en
Version: 384153 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MakeMCBarrierEngine -Monte Carlo barrier-option engine factory.
SYNOPSIS
#include <ql/pricingengines/barrier/mcbarrierengine.hpp>
Public Member Functions
MakeMCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
MakeMCBarrierEngine & withSteps (Size steps)
MakeMCBarrierEngine & withStepsPerYear (Size steps)
MakeMCBarrierEngine & withBrownianBridge (bool b=true)
MakeMCBarrierEngine & withAntitheticVariate (bool b=true)
MakeMCBarrierEngine & withSamples (Size samples)
MakeMCBarrierEngine & withAbsoluteTolerance (Real tolerance)
MakeMCBarrierEngine & withMaxSamples (Size samples)
MakeMCBarrierEngine & withBias (bool b=true)
MakeMCBarrierEngine & withSeed (BigNatural seed)
operator boost::shared_ptr< PricingEngine > () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCBarrierEngine< RNG, S >
Monte Carlo barrier-option engine factory.Author
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Contenus ©2006-2024 Benjamin Poulain
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