antitheticVariate_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected |
antitheticVariateCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
brownianBridge_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
brownianBridgeCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
calculate() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | |
calculate() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | |
McSimulation< SingleVariate, PseudoRandom, Statistics >::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) const | McSimulation< SingleVariate, PseudoRandom, Statistics > | |
controlPathGenerator() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protectedvirtual |
controlPathPricer() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected |
controlPathPricer() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protectedvirtual |
controlPricingEngine() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected |
controlPricingEngine() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protectedvirtual |
controlVariate_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected |
controlVariateValue() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected |
controlVariateValue() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protectedvirtual |
errorEstimate() const | McSimulation< SingleVariate, PseudoRandom, Statistics > | |
lsmPathPricer() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected |
lsmPathPricer() const=0 (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protectedpure virtual |
maxError(const Sequence &sequence) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protectedstatic |
maxError(Real error) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protectedstatic |
maxSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
MCAmericanEngine(const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >(), const boost::optional< bool > &antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >()) (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | |
MCLongstaffSchwartzEngine(const ext::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >()) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | |
mcModel_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | mutableprotected |
mcModelCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | mutableprotected |
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected |
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
path_generator_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | |
path_generator_type_calibration typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | |
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | |
path_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | |
pathGenerator() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protectedvirtual |
pathPricer() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protectedvirtual |
pathPricer_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | mutableprotected |
process_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
requiredSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
result_type typedef (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | |
sampleAccumulator() const | McSimulation< SingleVariate, PseudoRandom, Statistics > | |
seed_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
seedCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
stats_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | |
timeGrid() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protectedvirtual |
timeSteps_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected |
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const | McSimulation< SingleVariate, PseudoRandom, Statistics > | |
valueWithSamples(Size samples) const | McSimulation< SingleVariate, PseudoRandom, Statistics > | |
~McSimulation() (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | virtual |