QuantLib_MakeMCAmericanEngine (3) - Linux Man Pages

QuantLib_MakeMCAmericanEngine: Monte Carlo American engine factory.

NAME

QuantLib::MakeMCAmericanEngine - Monte Carlo American engine factory.

SYNOPSIS


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

Public Member Functions


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

MakeMCAmericanEngine & withSteps (Size steps)

MakeMCAmericanEngine & withStepsPerYear (Size steps)

MakeMCAmericanEngine & withSamples (Size samples)

MakeMCAmericanEngine & withTolerance (Real tolerance)

MakeMCAmericanEngine & withMaxSamples (Size samples)

MakeMCAmericanEngine & withSeed (BigNatural seed)

MakeMCAmericanEngine & withAntitheticVariate (bool b=true)

MakeMCAmericanEngine & withControlVariate (bool b=true)

MakeMCAmericanEngine & withPolynomOrder (Size polynomOrer)

MakeMCAmericanEngine & withBasisSystem (LsmBasisSystem::PolynomType)

MakeMCAmericanEngine & withCalibrationSamples (Size calibrationSamples)

operator boost::shared_ptr< PricingEngine > () const

Detailed Description

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

Monte Carlo American engine factory.

Examples:

EquityOption.cpp.

Author

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