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

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

#include <ql/experimental/exoticoptions/mchimalayaengine.hpp>

Public Member Functions

 MakeMCHimalayaEngine (const boost::shared_ptr< StochasticProcessArray > &)
 
MakeMCHimalayaEnginewithBrownianBridge (bool b=true)
 
MakeMCHimalayaEnginewithAntitheticVariate (bool b=true)
 
MakeMCHimalayaEnginewithSamples (Size samples)
 
MakeMCHimalayaEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCHimalayaEnginewithMaxSamples (Size samples)
 
MakeMCHimalayaEnginewithSeed (BigNatural seed)
 
 operator boost::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo Himalaya-option engine factory.