MCAmericanEngine Member List

This is the complete list of members for MCAmericanEngine, including all inherited members.

antitheticVariate_ (defined in McSimulation)McSimulation [protected]
brownianBridge_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected]
calculate() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >
QuantLib::McSimulation::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) constMcSimulation
controlPathPricer() const (defined in MCAmericanEngine)MCAmericanEngine [protected, virtual]
controlPricingEngine() const (defined in MCAmericanEngine)MCAmericanEngine [protected, virtual]
controlVariate_ (defined in McSimulation)McSimulation [protected]
controlVariateValue() const (defined in MCAmericanEngine)MCAmericanEngine [protected, virtual]
errorEstimate() constMcSimulation
lsmPathPricer() const (defined in MCAmericanEngine)MCAmericanEngine [protected, virtual]
maxError(const Sequence &sequence) (defined in McSimulation)McSimulation [protected, static]
maxError(Real error) (defined in McSimulation)McSimulation [protected, static]
maxSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected]
MCAmericanEngine(Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >()) (defined in MCAmericanEngine)MCAmericanEngine
MCLongstaffSchwartzEngine(Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >
mcModel_ (defined in McSimulation)McSimulation [mutable, protected]
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation)McSimulation [protected]
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected]
path_generator_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >
path_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >
pathGenerator() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected, virtual]
pathPricer() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected, virtual]
pathPricer_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [mutable, protected]
requiredSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected]
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected]
result_type typedef (defined in McSimulation)McSimulation
sampleAccumulator(void) constMcSimulation
seed_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected]
stats_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >
timeGrid() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected, virtual]
timeSteps_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected]
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > [protected]
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) constMcSimulation
valueWithSamples(Size samples) const McSimulation
~McSimulation() (defined in McSimulation)McSimulation [virtual]