MakeMCPerformanceEngine Class Template Reference

Monte Carlo performance-option engine factory. More...

#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

List of all members.

Public Member Functions

 MakeMCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
MakeMCPerformanceEnginewithBrownianBridge (bool b=true)
MakeMCPerformanceEnginewithAntitheticVariate (bool b=true)
MakeMCPerformanceEnginewithSamples (Size samples)
MakeMCPerformanceEnginewithAbsoluteTolerance (Real tolerance)
MakeMCPerformanceEnginewithMaxSamples (Size samples)
MakeMCPerformanceEnginewithSeed (BigNatural seed)
 operator boost::shared_ptr< PricingEngine > () const


Detailed Description

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

Monte Carlo performance-option engine factory.