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QuantLib_MakeMCAmericanPathEngine
Langue: en
Version: 380228 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MakeMCAmericanPathEngine -Monte Carlo American basket-option engine factory.
SYNOPSIS
#include <ql/experimental/mcbasket/mcamericanpathengine.hpp>
Public Member Functions
MakeMCAmericanPathEngine (const boost::shared_ptr< StochasticProcessArray > &)
MakeMCAmericanPathEngine & withSteps (Size steps)
MakeMCAmericanPathEngine & withStepsPerYear (Size steps)
MakeMCAmericanPathEngine & withBrownianBridge (bool b=true)
MakeMCAmericanPathEngine & withAntitheticVariate (bool b=true)
MakeMCAmericanPathEngine & withSamples (Size samples)
MakeMCAmericanPathEngine & withAbsoluteTolerance (Real tolerance)
MakeMCAmericanPathEngine & withMaxSamples (Size samples)
MakeMCAmericanPathEngine & withSeed (BigNatural seed)
MakeMCAmericanPathEngine & withCalibrationSamples (Size samples)
operator boost::shared_ptr< PricingEngine > () const
Detailed Description
template<class RNG = PseudoRandom> class QuantLib::MakeMCAmericanPathEngine< RNG >
Monte Carlo American basket-option engine factory.Author
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