MCEuropeanGJRGARCHEngine Class Template Reference
[Vanilla option engines]

Monte Carlo GJR-GARCH-model engine for European options. More...

#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>

Inheritance diagram for MCEuropeanGJRGARCHEngine:

List of all members.

Public Types

typedef MCVanillaEngine
< MultiVariate, RNG, S >
::path_pricer_type 
path_pricer_type

Public Member Functions

 MCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Protected Member Functions

boost::shared_ptr
< path_pricer_type
pathPricer () const


Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCEuropeanGJRGARCHEngine< RNG, S >

Monte Carlo GJR-GARCH-model engine for European options.

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature