MCAmericanBasketEngine Member List

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

antitheticVariate_ (defined in McSimulation)McSimulation [protected]
arguments_ (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results > [mutable, protected]
brownianBridge_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected]
calculate() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [virtual]
QuantLib::McSimulation::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) constMcSimulation
controlPathPricer() const (defined in McSimulation)McSimulation [protected, virtual]
controlPricingEngine() const (defined in McSimulation)McSimulation [protected, virtual]
controlVariate_ (defined in McSimulation)McSimulation [protected]
controlVariateValue() const (defined in McSimulation)McSimulation [protected, virtual]
errorEstimate() constMcSimulation
getArguments() const (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results > [virtual]
getResults() const (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results > [virtual]
lsmPathPricer() const (defined in MCAmericanBasketEngine)MCAmericanBasketEngine [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< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected]
MCAmericanBasketEngine(Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) (defined in MCAmericanBasketEngine)MCAmericanBasketEngine
MCAmericanBasketEngine(Size requiredSamples, Size timeSteps, BigNatural seed=0, bool antitheticSampling=false) (defined in MCAmericanBasketEngine)MCAmericanBasketEngine
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< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
mcModel_ (defined in McSimulation)McSimulation [mutable, protected]
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation)McSimulation [protected]
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected]
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
operator=(const Observable &)Observable
path_generator_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
path_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
pathGenerator() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected, virtual]
pathPricer() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected, virtual]
pathPricer_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [mutable, protected]
requiredSamples_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected]
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected]
reset() (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results > [virtual]
result_type typedef (defined in McSimulation)McSimulation
results_ (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results > [mutable, protected]
sampleAccumulator(void) constMcSimulation
seed_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected]
stats_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
timeGrid() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected, virtual]
timeSteps_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected]
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > [protected]
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) constMcSimulation
valueWithSamples(Size samples) const McSimulation
~McSimulation() (defined in McSimulation)McSimulation [virtual]
~Observable() (defined in Observable)Observable [virtual]
~PricingEngine() (defined in PricingEngine)PricingEngine [virtual]