QuantLib_MakeMCEuropeanGJRGARCHEngine

Langue: en

Autres versions - même langue

Version: 381127 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MakeMCEuropeanGJRGARCHEngine -

Monte Carlo GJR-GARCH European engine factory.

SYNOPSIS


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

Public Member Functions


MakeMCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &)

MakeMCEuropeanGJRGARCHEngine & withSteps (Size steps)

MakeMCEuropeanGJRGARCHEngine & withStepsPerYear (Size steps)

MakeMCEuropeanGJRGARCHEngine & withSamples (Size samples)

MakeMCEuropeanGJRGARCHEngine & withAbsoluteTolerance (Real tolerance)

MakeMCEuropeanGJRGARCHEngine & withMaxSamples (Size samples)

MakeMCEuropeanGJRGARCHEngine & withSeed (BigNatural seed)

MakeMCEuropeanGJRGARCHEngine & withAntitheticVariate (bool b=true)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Monte Carlo GJR-GARCH European engine factory.

Author

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