QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
MCAmericanBasketEngine< RNG > Member List

This is the complete list of members for MCAmericanBasketEngine< RNG >, including all inherited members.

antitheticVariate_ (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protected
antitheticVariateCalibration_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
arguments_ (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >mutableprotected
brownianBridge_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
brownianBridgeCalibration_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
calculate() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
calculate() const =0 (defined in PricingEngine)PricingEnginepure virtual
McSimulation< MultiVariate, PseudoRandom, Statistics >::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) constMcSimulation< MultiVariate, PseudoRandom, Statistics >
controlPathGenerator() const (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protectedvirtual
controlPathPricer() const (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protectedvirtual
controlPricingEngine() const (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protectedvirtual
controlVariate_ (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protected
controlVariateValue() const (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protectedvirtual
deepUpdate()Observervirtual
errorEstimate() constMcSimulation< MultiVariate, PseudoRandom, Statistics >
getArguments() const (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >
getArguments() const =0 (defined in PricingEngine)PricingEnginepure virtual
getResults() const (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >
getResults() const =0 (defined in PricingEngine)PricingEnginepure virtual
iterator typedef (defined in Observer)Observer
lsmPathPricer() const (defined in MCAmericanBasketEngine< RNG >)MCAmericanBasketEngine< RNG >protected
lsmPathPricer() const=0 (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protectedpure virtual
maxError(const Sequence &sequence) (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protectedstatic
maxError(Real error) (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protectedstatic
maxSamples_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
MCAmericanBasketEngine(const ext::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), Size polynomOrder=2, LsmBasisSystem::PolynomType polynomType=LsmBasisSystem::Monomial) (defined in MCAmericanBasketEngine< RNG >)MCAmericanBasketEngine< RNG >
MCLongstaffSchwartzEngine(const ext::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< BasketOption::engine, MultiVariate, PseudoRandom >
mcModel_ (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >mutableprotected
mcModelCalibration_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >mutableprotected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >protected
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >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< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
path_generator_type_calibration typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
path_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
pathGenerator() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protectedvirtual
pathPricer() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protectedvirtual
pathPricer_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >mutableprotected
process_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
requiredSamples_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
reset() (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >virtual
result_type typedef (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >
results_ (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >mutableprotected
sampleAccumulator() constMcSimulation< MultiVariate, PseudoRandom, Statistics >
seed_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
seedCalibration_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
set_type typedef (defined in Observer)Observer
stats_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
timeGrid() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protectedvirtual
timeSteps_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >protected
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()GenericEngine< BasketOption::arguments, BasketOption::results >virtual
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) constMcSimulation< MultiVariate, PseudoRandom, Statistics >
valueWithSamples(Size samples) constMcSimulation< MultiVariate, PseudoRandom, Statistics >
~McSimulation() (defined in McSimulation< MultiVariate, PseudoRandom, Statistics >)McSimulation< MultiVariate, PseudoRandom, Statistics >virtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~PricingEngine() (defined in PricingEngine)PricingEnginevirtual