Class MakeMCDiscreteArithmeticAPEngine

Hierarchy

MakeMCDiscreteArithmeticAPEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:161
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCDiscreteArithmeticAPEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _brownianBridge

_brownianBridge: boolean

Private _controlVariate

_controlVariate: boolean

Private _maxSamples

_maxSamples: Size

Private _process

_process: GeneralizedBlackScholesProcess

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _tolerance

_tolerance: Real

Methods

f

f(): PricingEngine

Implementation of NullaryFunction.f
- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:230
Returns PricingEngine

init

init(process: GeneralizedBlackScholesProcess): MakeMCDiscreteArithmeticAPEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:171
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCDiscreteArithmeticAPEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCDiscreteArithmeticAPEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:197
Parameters
- tolerance: Real
Returns MakeMCDiscreteArithmeticAPEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCDiscreteArithmeticAPEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:220
Parameters
- Default value b: boolean = true
Returns MakeMCDiscreteArithmeticAPEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCDiscreteArithmeticAPEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:184
Parameters
- Default value b: boolean = true
Returns MakeMCDiscreteArithmeticAPEngine

withControlVariate

withControlVariate(b?: boolean): MakeMCDiscreteArithmeticAPEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:225
Parameters
- Default value b: boolean = true
Returns MakeMCDiscreteArithmeticAPEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCDiscreteArithmeticAPEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:210
Parameters
- samples: Size
Returns MakeMCDiscreteArithmeticAPEngine

withSamples

withSamples(samples: Size): MakeMCDiscreteArithmeticAPEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:189
Parameters
- samples: Size
Returns MakeMCDiscreteArithmeticAPEngine

withSeed

withSeed(seed: BigNatural): MakeMCDiscreteArithmeticAPEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_price.ts:215
Parameters
- seed: BigNatural
Returns MakeMCDiscreteArithmeticAPEngine