Monte Carlo GJR-GARCH European engine factory. More...
#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>
Public Member Functions | |
MakeMCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &) | |
MakeMCEuropeanGJRGARCHEngine & | withSteps (Size steps) |
MakeMCEuropeanGJRGARCHEngine & | withStepsPerYear (Size steps) |
MakeMCEuropeanGJRGARCHEngine & | withSamples (Size samples) |
MakeMCEuropeanGJRGARCHEngine & | withAbsoluteTolerance (Real tolerance) |
MakeMCEuropeanGJRGARCHEngine & | withMaxSamples (Size samples) |
MakeMCEuropeanGJRGARCHEngine & | withSeed (BigNatural seed) |
MakeMCEuropeanGJRGARCHEngine & | withAntitheticVariate (bool b=true) |
operator boost::shared_ptr< PricingEngine > () const | |
Monte Carlo GJR-GARCH European engine factory.