Class MakeMCEuropeanBasketEngine

Hierarchy

MakeMCEuropeanBasketEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:122
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCEuropeanBasketEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _brownianBridge

_brownianBridge: boolean

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(): PricingEngine

Implementation of NullaryFunction.f
- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:196
Returns PricingEngine

mmcebeInit

mmcebeInit(process: StochasticProcessArray): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:132
Parameters
- process: StochasticProcessArray
Returns MakeMCEuropeanBasketEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:173
Parameters
- tolerance: Real
Returns MakeMCEuropeanBasketEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:160
Parameters
- Default value b: boolean = true
Returns MakeMCEuropeanBasketEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:155
Parameters
- Default value b: boolean = true
Returns MakeMCEuropeanBasketEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:186
Parameters
- samples: Size
Returns MakeMCEuropeanBasketEngine

withSamples

withSamples(samples: Size): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:165
Parameters
- samples: Size
Returns MakeMCEuropeanBasketEngine

withSeed

withSeed(seed: BigNatural): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:191
Parameters
- seed: BigNatural
Returns MakeMCEuropeanBasketEngine

withSteps

withSteps(steps: Size): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:145
Parameters
- steps: Size
Returns MakeMCEuropeanBasketEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCEuropeanBasketEngine

- Defined in ql/pricingengines/basket/mceuropeanbasketengine.ts:150
Parameters
- steps: Size
Returns MakeMCEuropeanBasketEngine