QuantLib_MCEuropeanGJRGARCHEngine

Langue: en

Autres versions - même langue

Version: 378138 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MCEuropeanGJRGARCHEngine -

Monte Carlo GJR-GARCH-model engine for European options.

SYNOPSIS


#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>

Inherits MCVanillaEngine< MultiVariate, RNG, S >.

Public Types


typedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type

Public Member Functions


MCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Protected Member Functions


boost::shared_ptr< path_pricer_type > pathPricer () const

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanGJRGARCHEngine< RNG, S >

Monte Carlo GJR-GARCH-model engine for European options.

Tests

the correctness of the returned value is tested by reproducing results available in web/literature

Author

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