Class MakeMCDiscreteArithmeticASEngine

Hierarchy

MakeMCDiscreteArithmeticASEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/asian/mc_discr_arith_av_strike.ts:116
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCDiscreteArithmeticASEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _brownianBridge

_brownianBridge: 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_strike.ts:179
Returns PricingEngine

init

init(process: GeneralizedBlackScholesProcess): MakeMCDiscreteArithmeticASEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_strike.ts:126
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCDiscreteArithmeticASEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCDiscreteArithmeticASEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_strike.ts:151
Parameters
- tolerance: Real
Returns MakeMCDiscreteArithmeticASEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCDiscreteArithmeticASEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_strike.ts:174
Parameters
- Default value b: boolean = true
Returns MakeMCDiscreteArithmeticASEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCDiscreteArithmeticASEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_strike.ts:138
Parameters
- Default value b: boolean = true
Returns MakeMCDiscreteArithmeticASEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCDiscreteArithmeticASEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_strike.ts:164
Parameters
- samples: Size
Returns MakeMCDiscreteArithmeticASEngine

withSamples

withSamples(samples: Size): MakeMCDiscreteArithmeticASEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_strike.ts:143
Parameters
- samples: Size
Returns MakeMCDiscreteArithmeticASEngine

withSeed

withSeed(seed: BigNatural): MakeMCDiscreteArithmeticASEngine

- Defined in ql/pricingengines/asian/mc_discr_arith_av_strike.ts:169
Parameters
- seed: BigNatural
Returns MakeMCDiscreteArithmeticASEngine