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

Monte Carlo American basket-option engine factory. More...

#include <ql/experimental/mcbasket/mcamericanpathengine.hpp>

Public Member Functions

 MakeMCAmericanPathEngine (const boost::shared_ptr< StochasticProcessArray > &)
 
MakeMCAmericanPathEnginewithSteps (Size steps)
 
MakeMCAmericanPathEnginewithStepsPerYear (Size steps)
 
MakeMCAmericanPathEnginewithBrownianBridge (bool b=true)
 
MakeMCAmericanPathEnginewithAntitheticVariate (bool b=true)
 
MakeMCAmericanPathEnginewithControlVariate (bool b=true)
 
MakeMCAmericanPathEnginewithSamples (Size samples)
 
MakeMCAmericanPathEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCAmericanPathEnginewithMaxSamples (Size samples)
 
MakeMCAmericanPathEnginewithSeed (BigNatural seed)
 
MakeMCAmericanPathEnginewithCalibrationSamples (Size samples)
 
 operator boost::shared_ptr< PricingEngine > () const
 

Detailed Description

template<class RNG = PseudoRandom>
class QuantLib::MakeMCAmericanPathEngine< RNG >

Monte Carlo American basket-option engine factory.