QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
MakeMCEuropeanBasketEngine< RNG, S > Class Template Reference

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

#include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>

Public Member Functions

 MakeMCEuropeanBasketEngine (const ext::shared_ptr< StochasticProcessArray > &)
 
MakeMCEuropeanBasketEnginewithSteps (Size steps)
 
MakeMCEuropeanBasketEnginewithStepsPerYear (Size steps)
 
MakeMCEuropeanBasketEnginewithBrownianBridge (bool b=true)
 
MakeMCEuropeanBasketEnginewithAntitheticVariate (bool b=true)
 
MakeMCEuropeanBasketEnginewithSamples (Size samples)
 
MakeMCEuropeanBasketEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCEuropeanBasketEnginewithMaxSamples (Size samples)
 
MakeMCEuropeanBasketEnginewithSeed (BigNatural seed)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo basket-option engine factory.