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

Monte Carlo GJR-GARCH European engine factory. More...

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

Public Member Functions

 MakeMCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &)
 
MakeMCEuropeanGJRGARCHEnginewithSteps (Size steps)
 
MakeMCEuropeanGJRGARCHEnginewithStepsPerYear (Size steps)
 
MakeMCEuropeanGJRGARCHEnginewithSamples (Size samples)
 
MakeMCEuropeanGJRGARCHEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCEuropeanGJRGARCHEnginewithMaxSamples (Size samples)
 
MakeMCEuropeanGJRGARCHEnginewithSeed (BigNatural seed)
 
MakeMCEuropeanGJRGARCHEnginewithAntitheticVariate (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.