Class MakeMCAmericanBasketEngine

Hierarchy

MakeMCAmericanBasketEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MakeMCAmericanBasketEngine(RNG?: rng_traits): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:90
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
Returns MakeMCAmericanBasketEngine

Properties

RNG

RNG: rng_traits

Private _antithetic

_antithetic: boolean

Private _brownianBridge

_brownianBridge: boolean

Private _calibrationSamples

_calibrationSamples: Size

Private _maxSamples

_maxSamples: Size

Private _process

_process: StochasticProcessArray

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _steps

_steps: Size

Private _stepsPerYear

_stepsPerYear: Size

Private _tolerance

_tolerance: Real

Methods

f

f(): MCAmericanBasketEngine

Implementation of NullaryFunction.f
- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:166
Returns MCAmericanBasketEngine

mmcabeInit

mmcabeInit(process: StochasticProcessArray): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:96
Parameters
- process: StochasticProcessArray
Returns MakeMCAmericanBasketEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:138
Parameters
- tolerance: Real
Returns MakeMCAmericanBasketEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:125
Parameters
- Default value b: boolean = true
Returns MakeMCAmericanBasketEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:120
Parameters
- Default value b: boolean = true
Returns MakeMCAmericanBasketEngine

withCalibrationSamples

withCalibrationSamples(samples: Size): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:161
Parameters
- samples: Size
Returns MakeMCAmericanBasketEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:151
Parameters
- samples: Size
Returns MakeMCAmericanBasketEngine

withSamples

withSamples(samples: Size): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:130
Parameters
- samples: Size
Returns MakeMCAmericanBasketEngine

withSeed

withSeed(seed: BigNatural): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:156
Parameters
- seed: BigNatural
Returns MakeMCAmericanBasketEngine

withSteps

withSteps(steps: Size): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:110
Parameters
- steps: Size
Returns MakeMCAmericanBasketEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCAmericanBasketEngine

- Defined in ql/pricingengines/basket/mcamericanbasketengine.ts:115
Parameters
- steps: Size
Returns MakeMCAmericanBasketEngine