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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MakeMCEuropeanGJRGARCHEngine(3) is an alias of QuantLib_MakeMCEuropeanGJRGARCHEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib