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

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

antitheticVariate_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protected
antitheticVariateCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
brownianBridge_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
brownianBridgeCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
calculate() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >)MCAmericanEngine< RNG, S, RNG_Calibration >
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 MCAmericanEngine< RNG, S, RNG_Calibration >)MCAmericanEngine< RNG, S, RNG_Calibration >protectedvirtual
controlPricingEngine() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >)MCAmericanEngine< RNG, S, RNG_Calibration >protectedvirtual
controlVariate_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protected
controlVariateValue() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >)MCAmericanEngine< RNG, S, RNG_Calibration >protectedvirtual
errorEstimate() constMcSimulation< SingleVariate, PseudoRandom, Statistics >
lsmPathPricer() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >)MCAmericanEngine< RNG, S, RNG_Calibration >protectedvirtual
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 MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
MCAmericanEngine(const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >(), const boost::optional< bool > &antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >()) (defined in MCAmericanEngine< RNG, S, RNG_Calibration >)MCAmericanEngine< RNG, S, RNG_Calibration >
MCLongstaffSchwartzEngine(const ext::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >())MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >
mcModel_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >mutableprotected
mcModelCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >mutableprotected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >protected
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
path_generator_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >
path_generator_type_calibration typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >
path_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >
pathGenerator() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protectedvirtual
pathPricer() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protectedvirtual
pathPricer_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >mutableprotected
process_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
requiredSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
result_type typedef (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >)McSimulation< SingleVariate, PseudoRandom, Statistics >
sampleAccumulator() constMcSimulation< SingleVariate, PseudoRandom, Statistics >
seed_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
seedCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
stats_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >
timeGrid() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protectedvirtual
timeSteps_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >protected
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >)MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >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