QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
MakeMCLookbackEngine< I, RNG, S > Class Template Reference

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

#include <ql/pricingengines/lookback/mclookbackengine.hpp>

Public Member Functions

 MakeMCLookbackEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)
 
MakeMCLookbackEnginewithSteps (Size steps)
 
MakeMCLookbackEnginewithStepsPerYear (Size steps)
 
MakeMCLookbackEnginewithBrownianBridge (bool b=true)
 
MakeMCLookbackEnginewithAntitheticVariate (bool b=true)
 
MakeMCLookbackEnginewithSamples (Size samples)
 
MakeMCLookbackEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCLookbackEnginewithMaxSamples (Size samples)
 
MakeMCLookbackEnginewithSeed (BigNatural seed)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo lookback-option engine factory.