Class MakeMCVarianceSwapEngine

Monte Carlo variance-swap engine factory

Hierarchy

MakeMCVarianceSwapEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:104
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCVarianceSwapEngine

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 _steps

_steps: Size

Private _stepsPerYear

_stepsPerYear: Size

Private _tolerance

_tolerance: Real

Methods

f

f(): PricingEngine

Implementation of NullaryFunction.f
- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:178
Returns PricingEngine

init

init(process: GeneralizedBlackScholesProcess): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:114
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCVarianceSwapEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:150
Parameters
- tolerance: Real
Returns MakeMCVarianceSwapEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:173
Parameters
- Default value b: boolean = true
Returns MakeMCVarianceSwapEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:137
Parameters
- Default value b: boolean = true
Returns MakeMCVarianceSwapEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:163
Parameters
- samples: Size
Returns MakeMCVarianceSwapEngine

withSamples

withSamples(samples: Size): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:142
Parameters
- samples: Size
Returns MakeMCVarianceSwapEngine

withSeed

withSeed(seed: BigNatural): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:168
Parameters
- seed: BigNatural
Returns MakeMCVarianceSwapEngine

withSteps

withSteps(steps: Size): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:127
Parameters
- steps: Size
Returns MakeMCVarianceSwapEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCVarianceSwapEngine

- Defined in ql/pricingengines/forward/mcvarianceswapengine.ts:132
Parameters
- steps: Size
Returns MakeMCVarianceSwapEngine