QuantLib_MakeMCEuropeanBasketEngine

Langue: en

Version: 378017 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MakeMCEuropeanBasketEngine -

Monte Carlo basket-option engine factory.

SYNOPSIS


#include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>

Public Member Functions


MakeMCEuropeanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &)

MakeMCEuropeanBasketEngine & withSteps (Size steps)

MakeMCEuropeanBasketEngine & withStepsPerYear (Size steps)

MakeMCEuropeanBasketEngine & withBrownianBridge (bool b=true)

MakeMCEuropeanBasketEngine & withAntitheticVariate (bool b=true)

MakeMCEuropeanBasketEngine & withSamples (Size samples)

MakeMCEuropeanBasketEngine & withAbsoluteTolerance (Real tolerance)

MakeMCEuropeanBasketEngine & withMaxSamples (Size samples)

MakeMCEuropeanBasketEngine & withSeed (BigNatural seed)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Monte Carlo basket-option engine factory.

Author

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