QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
MCLookbackEngine< I, RNG, S > Member List

This is the complete list of members for MCLookbackEngine< I, RNG, S >, including all inherited members.

antithetic_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
antitheticVariate_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protected
brownianBridge_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
calculate() const (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >
McSimulation< SingleVariate, PseudoRandom, Statistics >::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) constMcSimulation< SingleVariate, PseudoRandom, Statistics >
controlPathGenerator() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protectedvirtual
controlPathPricer() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protectedvirtual
controlPricingEngine() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protectedvirtual
controlVariate_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protected
controlVariateValue() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protectedvirtual
errorEstimate() constMcSimulation< SingleVariate, PseudoRandom, Statistics >
maxError(const Sequence &sequence) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protectedstatic
maxError(Real error) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protectedstatic
maxSamples_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
MCLookbackEngine(const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antithetic, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >
mcModel_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >mutableprotected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protected
path_generator_type typedef (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >
path_pricer_type typedef (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >
pathGenerator() const (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protectedvirtual
pathPricer() const (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protectedvirtual
process_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
requiredSamples_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
requiredTolerance_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
result_type typedef (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >
sampleAccumulator() constMcSimulation< SingleVariate, PseudoRandom, Statistics >
seed_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
stats_type typedef (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >
timeGrid() const (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protectedvirtual
timeSteps_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
timeStepsPerYear_ (defined in MCLookbackEngine< I, RNG, S >)MCLookbackEngine< I, RNG, S >protected
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) constMcSimulation< SingleVariate, PseudoRandom, Statistics >
valueWithSamples(Size samples) constMcSimulation< SingleVariate, PseudoRandom, Statistics >
~McSimulation() (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >virtual