QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
MakeMCPerformanceEngine< RNG, S > Class Template Reference

Monte Carlo performance-option engine factory. More...

#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

Public Member Functions

 MakeMCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
 
MakeMCPerformanceEnginewithBrownianBridge (bool b=true)
 
MakeMCPerformanceEnginewithAntitheticVariate (bool b=true)
 
MakeMCPerformanceEnginewithSamples (Size samples)
 
MakeMCPerformanceEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCPerformanceEnginewithMaxSamples (Size samples)
 
MakeMCPerformanceEnginewithSeed (BigNatural seed)
 
 operator boost::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo performance-option engine factory.