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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