QuantLib_MakeMCEuropeanHestonEngine

Langue: en

Autres versions - même langue

Version: 378501 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MakeMCEuropeanHestonEngine -

Monte Carlo Heston European engine factory.

SYNOPSIS


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

Public Member Functions


MakeMCEuropeanHestonEngine (const boost::shared_ptr< HestonProcess > &)

MakeMCEuropeanHestonEngine & withSteps (Size steps)

MakeMCEuropeanHestonEngine & withStepsPerYear (Size steps)

MakeMCEuropeanHestonEngine & withSamples (Size samples)

MakeMCEuropeanHestonEngine & withAbsoluteTolerance (Real tolerance)

MakeMCEuropeanHestonEngine & withMaxSamples (Size samples)

MakeMCEuropeanHestonEngine & withSeed (BigNatural seed)

MakeMCEuropeanHestonEngine & withAntitheticVariate (bool b=true)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Monte Carlo Heston European engine factory.

Author

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