Class MakeMCHestonHullWhiteEngine

Hierarchy

MakeMCHestonHullWhiteEngine

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:127
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MakeMCHestonHullWhiteEngine

Properties

RNG

RNG: rng_traits

S

S: any

Private _antithetic

_antithetic: boolean

Private _controlVariate

_controlVariate: boolean

Private _maxSamples

_maxSamples: Size

Private _process

_process: HybridHestonHullWhiteProcess

Private _samples

_samples: Size

Private _seed

_seed: BigNatural

Private _steps

_steps: Size

Private _stepsPerYear

_stepsPerYear: Size

Private _tolerance

_tolerance: Real

Methods

f

f(): PricingEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:200
Returns PricingEngine

mmchhweInit

mmchhweInit(process: HybridHestonHullWhiteProcess): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:137
Parameters
- process: HybridHestonHullWhiteProcess
Returns MakeMCHestonHullWhiteEngine

withAbsoluteTolerance

withAbsoluteTolerance(tolerance: Real): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:169
Parameters
- tolerance: Real
Returns MakeMCHestonHullWhiteEngine

withAntitheticVariate

withAntitheticVariate(b?: boolean): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:190
Parameters
- Default value b: boolean = true
Returns MakeMCHestonHullWhiteEngine

withControlVariate

withControlVariate(b?: boolean): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:195
Parameters
- Default value b: boolean = true
Returns MakeMCHestonHullWhiteEngine

withMaxSamples

withMaxSamples(samples: Size): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:180
Parameters
- samples: Size
Returns MakeMCHestonHullWhiteEngine

withSamples

withSamples(samples: Size): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:161
Parameters
- samples: Size
Returns MakeMCHestonHullWhiteEngine

withSeed

withSeed(seed: BigNatural): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:185
Parameters
- seed: BigNatural
Returns MakeMCHestonHullWhiteEngine

withSteps

withSteps(steps: Size): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:151
Parameters
- steps: Size
Returns MakeMCHestonHullWhiteEngine

withStepsPerYear

withStepsPerYear(steps: Size): MakeMCHestonHullWhiteEngine

- Defined in ql/pricingengines/vanilla/mchestonhullwhiteengine.ts:156
Parameters
- steps: Size
Returns MakeMCHestonHullWhiteEngine