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

Monte Carlo double-barrier-option engine factory. More...

#include <ql/experimental/barrieroption/mcdoublebarrierengine.hpp>

Public Member Functions

 MakeMCDoubleBarrierEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)
 
MakeMCDoubleBarrierEnginewithSteps (Size steps)
 
MakeMCDoubleBarrierEnginewithStepsPerYear (Size steps)
 
MakeMCDoubleBarrierEnginewithBrownianBridge (bool b=true)
 
MakeMCDoubleBarrierEnginewithAntitheticVariate (bool b=true)
 
MakeMCDoubleBarrierEnginewithSamples (Size samples)
 
MakeMCDoubleBarrierEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCDoubleBarrierEnginewithMaxSamples (Size samples)
 
MakeMCDoubleBarrierEnginewithSeed (BigNatural seed)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo double-barrier-option engine factory.