QuantLib_MakeMCEuropeanGJRGARCHEngine man page

MakeMCEuropeanGJRGARCHEngine< RNG, S > — Monte Carlo GJR-GARCH European engine factory.  


#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

Detailed Description

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

class QuantLib::MakeMCEuropeanGJRGARCHEngine< RNG, S >" Monte Carlo GJR-GARCH European engine factory.


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Referenced By

The man page MakeMCEuropeanGJRGARCHEngine(3) is an alias of QuantLib_MakeMCEuropeanGJRGARCHEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib