Class MakeMCAmericanEngine

Hierarchy

MakeMCAmericanEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MakeMCAmericanEngine(RNG?: rng_traits, S?: any, RNG_Calibration?: rng_traits): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:207
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
- Default value RNG_Calibration: rng_traits = RNG
Returns MakeMCAmericanEngine

Properties

RNG

RNG: rng_traits

RNG_Calibration

RNG_Calibration: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _antitheticCalibration

_antitheticCalibration: boolean

Private _calibrationSamples

_calibrationSamples: Size

Private _controlVariate

_controlVariate: boolean

Private _maxSamples

_maxSamples: Size

Private _polynomOrder

_polynomOrder: Size

Private _polynomType

_polynomType: PolynomType

Private _process

_process: GeneralizedBlackScholesProcess

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _seedCalibration

_seedCalibration: 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/vanilla/mcamericanengine.ts:314
Returns PricingEngine

mmcaeInit

mmcaeInit(process: GeneralizedBlackScholesProcess): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:220
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCAmericanEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:257
Parameters
- tolerance: Real
Returns MakeMCAmericanEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:278
Parameters
- Default value b: boolean = true
Returns MakeMCAmericanEngine

withAntitheticVariateCalibration

withAntitheticVariateCalibration(b?: boolean): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:304
Parameters
- Default value b: boolean = true
Returns MakeMCAmericanEngine

withBasisSystem

withBasisSystem(polynomType: PolynomType): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:293
Parameters
- polynomType: PolynomType
Returns MakeMCAmericanEngine

withCalibrationSamples

withCalibrationSamples(samples: Size): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:299
Parameters
- samples: Size
Returns MakeMCAmericanEngine

withControlVariate

withControlVariate(b?: boolean): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:283
Parameters
- Default value b: boolean = true
Returns MakeMCAmericanEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:268
Parameters
- samples: Size
Returns MakeMCAmericanEngine

withPolynomOrder

withPolynomOrder(polynomOrer: Size): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:288
Parameters
- polynomOrer: Size
Returns MakeMCAmericanEngine

withSamples

withSamples(samples: Size): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:249
Parameters
- samples: Size
Returns MakeMCAmericanEngine

withSeed

withSeed(seed: BigNatural): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:273
Parameters
- seed: BigNatural
Returns MakeMCAmericanEngine

withSeedCalibration

withSeedCalibration(seed: BigNatural): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:309
Parameters
- seed: BigNatural
Returns MakeMCAmericanEngine

withSteps

withSteps(steps: Size): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:239
Parameters
- steps: Size
Returns MakeMCAmericanEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCAmericanEngine

- Defined in ql/pricingengines/vanilla/mcamericanengine.ts:244
Parameters
- steps: Size
Returns MakeMCAmericanEngine