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

This is the complete list of members for MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >, including all inherited members.

antitheticVariate_ (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protected
antitheticVariateCalibration_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
arguments_ (defined in GenericEngine< ArgumentsType, ResultsType >)GenericEngine< ArgumentsType, ResultsType >mutableprotected
brownianBridge_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
brownianBridgeCalibration_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
calculate() const (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >virtual
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 McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protectedvirtual
errorEstimate() const McSimulation< MC, RNG, S >
getArguments() const (defined in GenericEngine< ArgumentsType, ResultsType >)GenericEngine< ArgumentsType, ResultsType >virtual
getResults() const (defined in GenericEngine< ArgumentsType, ResultsType >)GenericEngine< ArgumentsType, ResultsType >virtual
iterator typedef (defined in Observer)Observer
lsmPathPricer() const =0 (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protectedpure virtual
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 MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
MCLongstaffSchwartzEngine(const boost::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >())MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
mcModel_ (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >mutableprotected
mcModelCalibration_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >mutableprotected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >protected
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
QuantLib::operator=(const Observable &)Observable
operator=(const Observer &) (defined in Observer)Observer
path_generator_type typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
path_generator_type_calibration typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
path_type typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
pathGenerator() const (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protectedvirtual
pathPricer() const (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protectedvirtual
pathPricer_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >mutableprotected
process_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
requiredSamples_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
reset() (defined in GenericEngine< ArgumentsType, ResultsType >)GenericEngine< ArgumentsType, ResultsType >virtual
result_type typedef (defined in McSimulation< MC, RNG, S >)McSimulation< MC, RNG, S >
results_ (defined in GenericEngine< ArgumentsType, ResultsType >)GenericEngine< ArgumentsType, ResultsType >mutableprotected
sampleAccumulator(void) const McSimulation< MC, RNG, S >
seed_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
seedCalibration_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
set_type typedef (defined in Observer)Observer
stats_type typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
timeGrid() const (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protectedvirtual
timeSteps_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >)MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >protected
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()GenericEngine< ArgumentsType, ResultsType >virtual
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
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~PricingEngine() (defined in PricingEngine)PricingEnginevirtual