QuantLib_MakeMCEuropeanGJRGARCHEngine (3) Linux Manual Page
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 & withTolerance (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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