Class MakeMCDiscreteGeometricAPEngine

Hierarchy

MakeMCDiscreteGeometricAPEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:128
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCDiscreteGeometricAPEngine

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_geom_av_price.ts:191
Returns PricingEngine

init

init(process: GeneralizedBlackScholesProcess): MakeMCDiscreteGeometricAPEngine

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:138
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCDiscreteGeometricAPEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCDiscreteGeometricAPEngine

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:163
Parameters
- tolerance: Real
Returns MakeMCDiscreteGeometricAPEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCDiscreteGeometricAPEngine

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:186
Parameters
- Default value b: boolean = true
Returns MakeMCDiscreteGeometricAPEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCDiscreteGeometricAPEngine

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:150
Parameters
- Default value b: boolean = true
Returns MakeMCDiscreteGeometricAPEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCDiscreteGeometricAPEngine

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:176
Parameters
- samples: Size
Returns MakeMCDiscreteGeometricAPEngine

withSamples

withSamples(samples: Size): MakeMCDiscreteGeometricAPEngine

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:155
Parameters
- samples: Size
Returns MakeMCDiscreteGeometricAPEngine

withSeed

withSeed(seed: BigNatural): MakeMCDiscreteGeometricAPEngine

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:181
Parameters
- seed: BigNatural
Returns MakeMCDiscreteGeometricAPEngine