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

Monte Carlo Everest-option engine factory. More...

#include <ql/experimental/exoticoptions/mceverestengine.hpp>

Public Member Functions

 MakeMCEverestEngine (const ext::shared_ptr< StochasticProcessArray > &)
 
MakeMCEverestEnginewithSteps (Size steps)
 
MakeMCEverestEnginewithStepsPerYear (Size steps)
 
MakeMCEverestEnginewithBrownianBridge (bool b=true)
 
MakeMCEverestEnginewithAntitheticVariate (bool b=true)
 
MakeMCEverestEnginewithSamples (Size samples)
 
MakeMCEverestEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCEverestEnginewithMaxSamples (Size samples)
 
MakeMCEverestEnginewithSeed (BigNatural seed)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo Everest-option engine factory.