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QuantLib_MakeMCPerformanceEngine
Langue: en
Version: 379670 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MakeMCPerformanceEngine -Monte Carlo performance-option engine factory.
SYNOPSIS
#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>
Public Member Functions
MakeMCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
MakeMCPerformanceEngine & withBrownianBridge (bool b=true)
MakeMCPerformanceEngine & withAntitheticVariate (bool b=true)
MakeMCPerformanceEngine & withSamples (Size samples)
MakeMCPerformanceEngine & withAbsoluteTolerance (Real tolerance)
MakeMCPerformanceEngine & withMaxSamples (Size samples)
MakeMCPerformanceEngine & withSeed (BigNatural seed)
operator boost::shared_ptr< PricingEngine > () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCPerformanceEngine< RNG, S >
Monte Carlo performance-option engine factory.Author
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