MakeMCEuropeanEngine (3) - Linux Manuals

MakeMCEuropeanEngine: Monte Carlo European engine factory.

NAME

QuantLib::MakeMCEuropeanEngine - Monte Carlo European engine factory.

SYNOPSIS

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

Public Member Functions

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

MakeMCEuropeanEngine & withSteps (Size steps)

MakeMCEuropeanEngine & withStepsPerYear (Size steps)

MakeMCEuropeanEngine & withBrownianBridge (bool b=true)

MakeMCEuropeanEngine & withSamples (Size samples)

MakeMCEuropeanEngine & withTolerance (Real tolerance)

MakeMCEuropeanEngine & withMaxSamples (Size samples)

MakeMCEuropeanEngine & withSeed (BigNatural seed)

MakeMCEuropeanEngine & withAntitheticVariate (bool b=true)

MakeMCEuropeanEngine & withControlVariate (bool b=true)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Examples:

EquityOption.cpp.

Author

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