MakeMCAmericanPathEngine Class Template Reference

Monte Carlo American basket-option engine factory. More...

#include <ql/experimental/mcbasket/mcamericanpathengine.hpp>

List of all members.

Public Member Functions

 MakeMCAmericanPathEngine (const boost::shared_ptr< StochasticProcessArray > &)
MakeMCAmericanPathEnginewithSteps (Size steps)
MakeMCAmericanPathEnginewithStepsPerYear (Size steps)
MakeMCAmericanPathEnginewithBrownianBridge (bool b=true)
MakeMCAmericanPathEnginewithAntitheticVariate (bool b=true)
MakeMCAmericanPathEnginewithSamples (Size samples)
MakeMCAmericanPathEnginewithAbsoluteTolerance (Real tolerance)
MakeMCAmericanPathEnginewithMaxSamples (Size samples)
MakeMCAmericanPathEnginewithSeed (BigNatural seed)
MakeMCAmericanPathEnginewithCalibrationSamples (Size samples)
 operator boost::shared_ptr< PricingEngine > () const


Detailed Description

template<class RNG = PseudoRandom>
class QuantLib::MakeMCAmericanPathEngine< RNG >

Monte Carlo American basket-option engine factory.