QuantLib_MakeMCBarrierEngine

Langue: en

Version: 384153 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MakeMCBarrierEngine -

Monte Carlo barrier-option engine factory.

SYNOPSIS


#include <ql/pricingengines/barrier/mcbarrierengine.hpp>

Public Member Functions


MakeMCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

MakeMCBarrierEngine & withSteps (Size steps)

MakeMCBarrierEngine & withStepsPerYear (Size steps)

MakeMCBarrierEngine & withBrownianBridge (bool b=true)

MakeMCBarrierEngine & withAntitheticVariate (bool b=true)

MakeMCBarrierEngine & withSamples (Size samples)

MakeMCBarrierEngine & withAbsoluteTolerance (Real tolerance)

MakeMCBarrierEngine & withMaxSamples (Size samples)

MakeMCBarrierEngine & withBias (bool b=true)

MakeMCBarrierEngine & withSeed (BigNatural seed)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Monte Carlo barrier-option engine factory.

Author

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