QuantLib_MakeMCAmericanBasketEngine

Langue: en

Version: 378839 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MakeMCAmericanBasketEngine -

Monte Carlo American basket-option engine factory.

SYNOPSIS


#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

Public Member Functions


MakeMCAmericanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &)

MakeMCAmericanBasketEngine & withSteps (Size steps)

MakeMCAmericanBasketEngine & withStepsPerYear (Size steps)

MakeMCAmericanBasketEngine & withBrownianBridge (bool b=true)

MakeMCAmericanBasketEngine & withAntitheticVariate (bool b=true)

MakeMCAmericanBasketEngine & withSamples (Size samples)

MakeMCAmericanBasketEngine & withAbsoluteTolerance (Real tolerance)

MakeMCAmericanBasketEngine & withMaxSamples (Size samples)

MakeMCAmericanBasketEngine & withSeed (BigNatural seed)

MakeMCAmericanBasketEngine & withCalibrationSamples (Size samples)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

template<class RNG = PseudoRandom> class QuantLib::MakeMCAmericanBasketEngine< RNG >

Monte Carlo American basket-option engine factory.

Author

Generated automatically by Doxygen for QuantLib from the source code.