QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
MCAmericanBasketEngine< RNG > Member List

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

antitheticVariate_ (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protected
arguments_ (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >mutableprotected
brownianBridge_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
calculate() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >virtual
McSimulation< MultiVariate, RNG, Statistics >::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) constMcSimulation< MultiVariate, RNG, Statistics >
controlPathGenerator() const (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protectedvirtual
controlPathPricer() const (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protectedvirtual
controlPricingEngine() const (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protectedvirtual
controlVariate_ (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protected
controlVariateValue() const (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protectedvirtual
errorEstimate() constMcSimulation< MultiVariate, RNG, Statistics >
getArguments() const (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >virtual
getResults() const (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >virtual
lsmPathPricer() const (defined in MCAmericanBasketEngine< RNG >)MCAmericanBasketEngine< RNG >protectedvirtual
maxError(const Sequence &sequence) (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protectedstatic
maxError(Real error) (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protectedstatic
maxSamples_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
MCAmericanBasketEngine(const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) (defined in MCAmericanBasketEngine< RNG >)MCAmericanBasketEngine< RNG >
MCLongstaffSchwartzEngine(const boost::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 >()) (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
mcModel_ (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >mutableprotected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >protected
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
QuantLib::operator=(const Observable &)Observable
operator=(const Observer &) (defined in Observer)Observer
path_generator_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
path_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
pathGenerator() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protectedvirtual
pathPricer() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protectedvirtual
pathPricer_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >mutableprotected
process_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
requiredSamples_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
reset() (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >virtual
result_type typedef (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >
results_ (defined in GenericEngine< BasketOption::arguments, BasketOption::results >)GenericEngine< BasketOption::arguments, BasketOption::results >mutableprotected
sampleAccumulator(void) constMcSimulation< MultiVariate, RNG, Statistics >
seed_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
stats_type typedef (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >
timeGrid() const (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protectedvirtual
timeSteps_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >)MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >protected
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()GenericEngine< BasketOption::arguments, BasketOption::results >virtual
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) constMcSimulation< MultiVariate, RNG, Statistics >
valueWithSamples(Size samples) constMcSimulation< MultiVariate, RNG, Statistics >
~McSimulation() (defined in McSimulation< MultiVariate, RNG, Statistics >)McSimulation< MultiVariate, RNG, Statistics >virtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~PricingEngine() (defined in PricingEngine)PricingEnginevirtual