QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
MakeMCBarrierEngine< RNG, S > Class Template Reference

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

#include <ql/pricingengines/barrier/mcbarrierengine.hpp>

Public Member Functions

 MakeMCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
 
MakeMCBarrierEnginewithSteps (Size steps)
 
MakeMCBarrierEnginewithStepsPerYear (Size steps)
 
MakeMCBarrierEnginewithBrownianBridge (bool b=true)
 
MakeMCBarrierEnginewithAntitheticVariate (bool b=true)
 
MakeMCBarrierEnginewithSamples (Size samples)
 
MakeMCBarrierEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCBarrierEnginewithMaxSamples (Size samples)
 
MakeMCBarrierEnginewithBias (bool b=true)
 
MakeMCBarrierEnginewithSeed (BigNatural seed)
 
 operator boost::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo barrier-option engine factory.