Class MakeMCDigitalEngine

Hierarchy

MakeMCDigitalEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:105
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCDigitalEngine

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/vanilla/mcdigitalengine.ts:177
Returns PricingEngine

mmcdeInit

mmcdeInit(process: GeneralizedBlackScholesProcess): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:115
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCDigitalEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:151
Parameters
- tolerance: Real
Returns MakeMCDigitalEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:172
Parameters
- Default value b: boolean = true
Returns MakeMCDigitalEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:138
Parameters
- Default value b: boolean = true
Returns MakeMCDigitalEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:162
Parameters
- samples: Size
Returns MakeMCDigitalEngine

withSamples

withSamples(samples: Size): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:143
Parameters
- samples: Size
Returns MakeMCDigitalEngine

withSeed

withSeed(seed: BigNatural): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:167
Parameters
- seed: BigNatural
Returns MakeMCDigitalEngine

withSteps

withSteps(steps: Size): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:128
Parameters
- steps: Size
Returns MakeMCDigitalEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:133
Parameters
- steps: Size
Returns MakeMCDigitalEngine