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QuantLib_MakeMCEuropeanBasketEngine
Langue: en
Version: 378017 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MakeMCEuropeanBasketEngine -Monte Carlo basket-option engine factory.
SYNOPSIS
#include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>
Public Member Functions
MakeMCEuropeanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &)
MakeMCEuropeanBasketEngine & withSteps (Size steps)
MakeMCEuropeanBasketEngine & withStepsPerYear (Size steps)
MakeMCEuropeanBasketEngine & withBrownianBridge (bool b=true)
MakeMCEuropeanBasketEngine & withAntitheticVariate (bool b=true)
MakeMCEuropeanBasketEngine & withSamples (Size samples)
MakeMCEuropeanBasketEngine & withAbsoluteTolerance (Real tolerance)
MakeMCEuropeanBasketEngine & withMaxSamples (Size samples)
MakeMCEuropeanBasketEngine & withSeed (BigNatural seed)
operator boost::shared_ptr< PricingEngine > () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEuropeanBasketEngine< RNG, S >
Monte Carlo basket-option engine factory.Author
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