Class MakeMCEuropeanHestonEngine

Hierarchy

MakeMCEuropeanHestonEngine

Implements

NullaryFunction<PricingEngine>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:77
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCEuropeanHestonEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _maxSamples

_maxSamples: Size

Private _process

_process: HestonProcess

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/mceuropeanhestonengine.ts:150
Returns PricingEngine

mmceheInit

mmceheInit(process: HestonProcess): MakeMCEuropeanHestonEngine

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:87
Parameters
- process: HestonProcess
Returns MakeMCEuropeanHestonEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCEuropeanHestonEngine

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:123
Parameters
- tolerance: Real
Returns MakeMCEuropeanHestonEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCEuropeanHestonEngine

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:145
Parameters
- Default value b: boolean = true
Returns MakeMCEuropeanHestonEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCEuropeanHestonEngine

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:135
Parameters
- samples: Size
Returns MakeMCEuropeanHestonEngine

withSamples

withSamples(samples: Size): MakeMCEuropeanHestonEngine

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:115
Parameters
- samples: Size
Returns MakeMCEuropeanHestonEngine

withSeed

withSeed(seed: BigNatural): MakeMCEuropeanHestonEngine

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:140
Parameters
- seed: BigNatural
Returns MakeMCEuropeanHestonEngine

withSteps

withSteps(steps: Size): MakeMCEuropeanHestonEngine

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:99
Parameters
- steps: Size
Returns MakeMCEuropeanHestonEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCEuropeanHestonEngine

- Defined in ql/pricingengines/vanilla/mceuropeanhestonengine.ts:107
Parameters
- steps: Size
Returns MakeMCEuropeanHestonEngine