Class MakeMCEverestEngine

Hierarchy

MakeMCEverestEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MakeMCEverestEngine(RNG?: rng_traits, S?: any): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:135
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCEverestEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _brownianBridge

_brownianBridge: boolean

Private _maxSamples

_maxSamples: Size

Private _processes

_processes: StochasticProcessArray

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _steps

_steps: Size

Private _stepsPerYear

_stepsPerYear: Size

Private _tolerance

_tolerance: Real

Methods

f

f(): PricingEngine

Implementation of NullaryFunction.f
- Defined in ql/experimental/exoticoptions/mceverestengine.ts:209
Returns PricingEngine

mmceeInit

mmceeInit(processes: StochasticProcessArray): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:145
Parameters
- processes: StochasticProcessArray
Returns MakeMCEverestEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:186
Parameters
- tolerance: Real
Returns MakeMCEverestEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:173
Parameters
- Default value b: boolean = true
Returns MakeMCEverestEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:168
Parameters
- Default value b: boolean = true
Returns MakeMCEverestEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:199
Parameters
- samples: Size
Returns MakeMCEverestEngine

withSamples

withSamples(samples: Size): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:178
Parameters
- samples: Size
Returns MakeMCEverestEngine

withSeed

withSeed(seed: BigNatural): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:204
Parameters
- seed: BigNatural
Returns MakeMCEverestEngine

withSteps

withSteps(steps: Size): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:158
Parameters
- steps: Size
Returns MakeMCEverestEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCEverestEngine

- Defined in ql/experimental/exoticoptions/mceverestengine.ts:163
Parameters
- steps: Size
Returns MakeMCEverestEngine