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Hierarchy

  • MakeMCBarrierEngine

Implements

Index

Constructors

constructor

  • Parameters

    • Default value RNG: rng_traits = new PseudoRandom()
    • Default value S: any = new RiskStatistics()

    Returns MakeMCBarrierEngine

Properties

RNG

S

S: any

Private _antithetic

_antithetic: boolean

Private _biased

_biased: boolean

Private _brownianBridge

_brownianBridge: boolean

Private _maxSamples

_maxSamples: Size

Private _process

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _steps

_steps: Size

Private _stepsPerYear

_stepsPerYear: Size

Private _tolerance

_tolerance: Real

Methods

f

init

withAbsoluteTolerance

  • Parameters

    Returns MakeMCBarrierEngine

withAntitheticVariate

  • Parameters

    • Default value b: boolean = true

    Returns MakeMCBarrierEngine

withBias

  • Parameters

    • Default value flag: boolean = true

    Returns MakeMCBarrierEngine

withBrownianBridge

  • Parameters

    • Default value b: boolean = true

    Returns MakeMCBarrierEngine

withMaxSamples

withSamples

withSeed

withSteps

withStepsPerYear