QuantLib_MakeMCPerformanceEngine

Langue: en

Version: 379670 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MakeMCPerformanceEngine -

Monte Carlo performance-option engine factory.

SYNOPSIS


#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

Public Member Functions


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

MakeMCPerformanceEngine & withBrownianBridge (bool b=true)

MakeMCPerformanceEngine & withAntitheticVariate (bool b=true)

MakeMCPerformanceEngine & withSamples (Size samples)

MakeMCPerformanceEngine & withAbsoluteTolerance (Real tolerance)

MakeMCPerformanceEngine & withMaxSamples (Size samples)

MakeMCPerformanceEngine & withSeed (BigNatural seed)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Monte Carlo performance-option engine factory.

Author

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