QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
MakeMCAmericanEngine< RNG, S, RNG_Calibration > Class Template Reference

Monte Carlo American engine factory. More...

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

Public Member Functions

 MakeMCAmericanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)
 
MakeMCAmericanEnginewithSteps (Size steps)
 
MakeMCAmericanEnginewithStepsPerYear (Size steps)
 
MakeMCAmericanEnginewithSamples (Size samples)
 
MakeMCAmericanEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCAmericanEnginewithMaxSamples (Size samples)
 
MakeMCAmericanEnginewithSeed (BigNatural seed)
 
MakeMCAmericanEnginewithAntitheticVariate (bool b=true)
 
MakeMCAmericanEnginewithControlVariate (bool b=true)
 
MakeMCAmericanEnginewithPolynomOrder (Size polynomOrer)
 
MakeMCAmericanEnginewithBasisSystem (LsmBasisSystem::PolynomType)
 
MakeMCAmericanEnginewithCalibrationSamples (Size calibrationSamples)
 
MakeMCAmericanEnginewithAntitheticVariateCalibration (bool b=true)
 
MakeMCAmericanEnginewithSeedCalibration (BigNatural seed)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo American engine factory.

Examples
EquityOption.cpp.