Class MakeMCEuropeanGJRGARCHEngine

Hierarchy

MakeMCEuropeanGJRGARCHEngine

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:70
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCEuropeanGJRGARCHEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _maxSamples

_maxSamples: Size

Private _process

_process: GJRGARCHProcess

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _steps

_steps: Size

Private _stepsPerYear

_stepsPerYear: Size

Private _tolerance

_tolerance: Real

Methods

f

f(): MCEuropeanGJRGARCHEngine

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:143
Returns MCEuropeanGJRGARCHEngine

mmcegeInit

mmcegeInit(process: GJRGARCHProcess): MakeMCEuropeanGJRGARCHEngine

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:80
Parameters
- process: GJRGARCHProcess
Returns MakeMCEuropeanGJRGARCHEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCEuropeanGJRGARCHEngine

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:116
Parameters
- tolerance: Real
Returns MakeMCEuropeanGJRGARCHEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCEuropeanGJRGARCHEngine

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

withMaxSamples

withMaxSamples(samples: Size): MakeMCEuropeanGJRGARCHEngine

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:128
Parameters
- samples: Size
Returns MakeMCEuropeanGJRGARCHEngine

withSamples

withSamples(samples: Size): MakeMCEuropeanGJRGARCHEngine

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:108
Parameters
- samples: Size
Returns MakeMCEuropeanGJRGARCHEngine

withSeed

withSeed(seed: BigNatural): MakeMCEuropeanGJRGARCHEngine

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:133
Parameters
- seed: BigNatural
Returns MakeMCEuropeanGJRGARCHEngine

withSteps

withSteps(steps: Size): MakeMCEuropeanGJRGARCHEngine

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:92
Parameters
- steps: Size
Returns MakeMCEuropeanGJRGARCHEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCEuropeanGJRGARCHEngine

- Defined in ql/pricingengines/vanilla/mceuropeangjrgarchengine.ts:100
Parameters
- steps: Size
Returns MakeMCEuropeanGJRGARCHEngine