QuantLib_MCHullWhiteCapFloorEngine man page

MCHullWhiteCapFloorEngine< RNG, S > — Monte Carlo Hull-White engine for cap/floors.  


#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

Inherits CapFloor::engine, and McSimulation< SingleVariate, RNG, S >.

Public Types

typedef simulation::path_generator_type path_generator_type
typedef simulation::path_pricer_type path_pricer_type
typedef simulation::stats_type stats_type

Public Member Functions

MCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void calculate () const

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const
TimeGrid timeGrid () const
boost::shared_ptr< path_generator_type > pathGenerator () const

Additional Inherited Members

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>

class QuantLib::MCHullWhiteCapFloorEngine< RNG, S >" Monte Carlo Hull-White engine for cap/floors.


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Referenced By

The man page MCHullWhiteCapFloorEngine(3) is an alias of QuantLib_MCHullWhiteCapFloorEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib