MCEuropeanGJRGARCHEngine Class Template Reference
[Vanilla option engines]
Monte Carlo GJR-GARCH-model engine for European options.
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#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>
Inheritance diagram for MCEuropeanGJRGARCHEngine:

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