QuantLib_MakeMCHullWhiteCapFloorEngine

Langue: en

Autres versions - même langue

Version: 376827 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MakeMCHullWhiteCapFloorEngine -

Monte Carlo Hull-White cap-floor engine factory.

SYNOPSIS


#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

Public Member Functions


MakeMCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &)

MakeMCHullWhiteCapFloorEngine & withBrownianBridge (bool b=true)

MakeMCHullWhiteCapFloorEngine & withSamples (Size samples)

MakeMCHullWhiteCapFloorEngine & withAbsoluteTolerance (Real tolerance)

MakeMCHullWhiteCapFloorEngine & withMaxSamples (Size samples)

MakeMCHullWhiteCapFloorEngine & withSeed (BigNatural seed)

MakeMCHullWhiteCapFloorEngine & withAntitheticVariate (bool b=true)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Monte Carlo Hull-White cap-floor engine factory.

Author

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