QuantLib_MakeMCHestonHullWhiteEngine

Langue: en

Version: 373604 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MakeMCHestonHullWhiteEngine -

Monte Carlo Heston/Hull-White engine factory.

SYNOPSIS


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

Public Member Functions


MakeMCHestonHullWhiteEngine (const boost::shared_ptr< HybridHestonHullWhiteProcess > &)

MakeMCHestonHullWhiteEngine & withSteps (Size steps)

MakeMCHestonHullWhiteEngine & withStepsPerYear (Size steps)

MakeMCHestonHullWhiteEngine & withAntitheticVariate (bool b=true)

MakeMCHestonHullWhiteEngine & withControlVariate (bool b=true)

MakeMCHestonHullWhiteEngine & withSamples (Size samples)

MakeMCHestonHullWhiteEngine & withAbsoluteTolerance (Real tolerance)

MakeMCHestonHullWhiteEngine & withMaxSamples (Size samples)

MakeMCHestonHullWhiteEngine & withSeed (BigNatural seed)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Monte Carlo Heston/Hull-White engine factory.

Author

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