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QuantLib_MultiVariate
Langue: en
Version: 380584 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MultiVariate -default Monte Carlo traits for multi-variate models
SYNOPSIS
#include <ql/methods/montecarlo/mctraits.hpp>
Public Types
enum { allowsErrorEstimate = RNG::allowsErrorEstimate }
typedef RNG rng_traits
typedef MultiPath path_type
typedef PathPricer< path_type > path_pricer_type
typedef RNG::rsg_type rsg_type
typedef MultiPathGenerator< rsg_type > path_generator_type
Detailed Description
template<class RNG = PseudoRandom> struct QuantLib::MultiVariate< RNG >
default Monte Carlo traits for multi-variate modelsAuthor
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