QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
MCVanillaEngine< MC, RNG, S, Inst > Member List

This is the complete list of members for MCVanillaEngine< MC, RNG, S, Inst >, including all inherited members.

antitheticVariate_ (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protected
brownianBridge_ (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
calculate() const (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >
QuantLib::McSimulation::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) const McSimulation< MC, RNG, S >
controlPathGenerator() const (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protectedvirtual
controlPathPricer() const (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protectedvirtual
controlPricingEngine() const (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protectedvirtual
controlVariate_ (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protected
controlVariateValue() const (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protectedvirtual
errorEstimate() const McSimulation< MC, RNG, S >
maxError(const Sequence &sequence) (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protectedstatic
maxError(Real error) (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protectedstatic
maxSamples_ (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
mcModel_ (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >mutableprotected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protected
MCVanillaEngine(const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
path_generator_type typedef (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
path_pricer_type typedef (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
pathGenerator() const (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protectedvirtual
pathPricer() const =0 (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protectedpure virtual
process_ (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
requiredSamples_ (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
requiredTolerance_ (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
result_type typedef (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
sampleAccumulator(void) const McSimulation< MC, RNG, S >
seed_ (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
stats_type typedef (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
timeGrid() const (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protectedvirtual
timeSteps_ (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
timeStepsPerYear_ (defined in MCVanillaEngine< MC, RNG, S, Inst >)MCVanillaEngine< MC, RNG, S, Inst >protected
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const McSimulation< MC, RNG, S >
valueWithSamples(Size samples) const McSimulation< MC, RNG, S >
~McSimulation() (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >virtual