Class MakeMCHullWhiteCapFloorEngine

Hierarchy

MakeMCHullWhiteCapFloorEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:125
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCHullWhiteCapFloorEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _brownianBridge

_brownianBridge: boolean

Private _maxSamples

_maxSamples: Size

Private _model

_model: HullWhite

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _tolerance

_tolerance: Real

Methods

f

f(): PricingEngine

Implementation of NullaryFunction.f
- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:186
Returns PricingEngine

mmchwcfeInit

mmchwcfeInit(model: HullWhite): MakeMCHullWhiteCapFloorEngine

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:135
Parameters
- model: HullWhite
Returns MakeMCHullWhiteCapFloorEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCHullWhiteCapFloorEngine

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:159
Parameters
- tolerance: Real
Returns MakeMCHullWhiteCapFloorEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCHullWhiteCapFloorEngine

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:181
Parameters
- Default value b: boolean = true
Returns MakeMCHullWhiteCapFloorEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCHullWhiteCapFloorEngine

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:146
Parameters
- Default value b: boolean = true
Returns MakeMCHullWhiteCapFloorEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCHullWhiteCapFloorEngine

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:171
Parameters
- samples: Size
Returns MakeMCHullWhiteCapFloorEngine

withSamples

withSamples(samples: Size): MakeMCHullWhiteCapFloorEngine

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:151
Parameters
- samples: Size
Returns MakeMCHullWhiteCapFloorEngine

withSeed

withSeed(seed: BigNatural): MakeMCHullWhiteCapFloorEngine

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:176
Parameters
- seed: BigNatural
Returns MakeMCHullWhiteCapFloorEngine