Class MakeMCPerformanceEngine

Hierarchy

MakeMCPerformanceEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:114
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCPerformanceEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _brownianBridge

_brownianBridge: boolean

Private _maxSamples

_maxSamples: Size

Private _process

_process: GeneralizedBlackScholesProcess

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _tolerance

_tolerance: Real

Methods

f

f(): PricingEngine

Implementation of NullaryFunction.f
- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:176
Returns PricingEngine

mmcpeInit

mmcpeInit(process: GeneralizedBlackScholesProcess): MakeMCPerformanceEngine

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:124
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCPerformanceEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCPerformanceEngine

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:153
Parameters
- tolerance: Real
Returns MakeMCPerformanceEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCPerformanceEngine

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:140
Parameters
- Default value b: boolean = true
Returns MakeMCPerformanceEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCPerformanceEngine

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:135
Parameters
- Default value b: boolean = true
Returns MakeMCPerformanceEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCPerformanceEngine

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:166
Parameters
- samples: Size
Returns MakeMCPerformanceEngine

withSamples

withSamples(samples: Size): MakeMCPerformanceEngine

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:145
Parameters
- samples: Size
Returns MakeMCPerformanceEngine

withSeed

withSeed(seed: BigNatural): MakeMCPerformanceEngine

- Defined in ql/pricingengines/cliquet/mcperformanceengine.ts:171
Parameters
- seed: BigNatural
Returns MakeMCPerformanceEngine