Class MakeMCBarrierEngine

Hierarchy

MakeMCBarrierEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:173
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCBarrierEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _biased

_biased: boolean

Private _brownianBridge

_brownianBridge: boolean

Private _maxSamples

_maxSamples: Size

Private _process

_process: GeneralizedBlackScholesProcess

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/pricingengines/barrier/mcbarrierengine.ts:253
Returns PricingEngine

init

init(process: GeneralizedBlackScholesProcess): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:183
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCBarrierEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:225
Parameters
- tolerance: Real
Returns MakeMCBarrierEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:212
Parameters
- Default value b: boolean = true
Returns MakeMCBarrierEngine

withBias

withBias(flag?: boolean): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:243
Parameters
- Default value flag: boolean = true
Returns MakeMCBarrierEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:207
Parameters
- Default value b: boolean = true
Returns MakeMCBarrierEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:238
Parameters
- samples: Size
Returns MakeMCBarrierEngine

withSamples

withSamples(samples: Size): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:217
Parameters
- samples: Size
Returns MakeMCBarrierEngine

withSeed

withSeed(seed: BigNatural): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:248
Parameters
- seed: BigNatural
Returns MakeMCBarrierEngine

withSteps

withSteps(steps: Size): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:197
Parameters
- steps: Size
Returns MakeMCBarrierEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:202
Parameters
- steps: Size
Returns MakeMCBarrierEngine