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QuantLib_MakeMCHestonHullWhiteEngine
Langue: en
Version: 373604 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MakeMCHestonHullWhiteEngine -Monte Carlo Heston/Hull-White engine factory.
SYNOPSIS
#include <ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp>
Public Member Functions
MakeMCHestonHullWhiteEngine (const boost::shared_ptr< HybridHestonHullWhiteProcess > &)
MakeMCHestonHullWhiteEngine & withSteps (Size steps)
MakeMCHestonHullWhiteEngine & withStepsPerYear (Size steps)
MakeMCHestonHullWhiteEngine & withAntitheticVariate (bool b=true)
MakeMCHestonHullWhiteEngine & withControlVariate (bool b=true)
MakeMCHestonHullWhiteEngine & withSamples (Size samples)
MakeMCHestonHullWhiteEngine & withAbsoluteTolerance (Real tolerance)
MakeMCHestonHullWhiteEngine & withMaxSamples (Size samples)
MakeMCHestonHullWhiteEngine & withSeed (BigNatural seed)
operator boost::shared_ptr< PricingEngine > () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCHestonHullWhiteEngine< RNG, S >
Monte Carlo Heston/Hull-White engine factory.Author
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