Class MakeMCEuropeanEngine

Hierarchy

MakeMCEuropeanEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:68
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCEuropeanEngine

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/mceuropeanengine.ts:140
Returns PricingEngine

mmceeInit

mmceeInit(process: GeneralizedBlackScholesProcess): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:78
Parameters
- process: GeneralizedBlackScholesProcess
Returns MakeMCEuropeanEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:114
Parameters
- tolerance: Real
Returns MakeMCEuropeanEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:135
Parameters
- Default value b: boolean = true
Returns MakeMCEuropeanEngine

withBrownianBridge

withBrownianBridge(b?: boolean): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:101
Parameters
- Default value b: boolean = true
Returns MakeMCEuropeanEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:125
Parameters
- samples: Size
Returns MakeMCEuropeanEngine

withSamples

withSamples(samples: Size): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:106
Parameters
- samples: Size
Returns MakeMCEuropeanEngine

withSeed

withSeed(seed: BigNatural): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:130
Parameters
- seed: BigNatural
Returns MakeMCEuropeanEngine

withSteps

withSteps(steps: Size): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:91
Parameters
- steps: Size
Returns MakeMCEuropeanEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCEuropeanEngine

- Defined in ql/pricingengines/vanilla/mceuropeanengine.ts:96
Parameters
- steps: Size
Returns MakeMCEuropeanEngine