QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
MakeMCDigitalEngine< RNG, S > Class Template Reference

Monte Carlo digital engine factory. More...

#include <ql/pricingengines/vanilla/mcdigitalengine.hpp>

Public Member Functions

 MakeMCDigitalEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
 
MakeMCDigitalEnginewithSteps (Size steps)
 
MakeMCDigitalEnginewithStepsPerYear (Size steps)
 
MakeMCDigitalEnginewithBrownianBridge (bool b=true)
 
MakeMCDigitalEnginewithSamples (Size samples)
 
MakeMCDigitalEnginewithAbsoluteTolerance (Real tolerance)
 
MakeMCDigitalEnginewithMaxSamples (Size samples)
 
MakeMCDigitalEnginewithSeed (BigNatural seed)
 
MakeMCDigitalEnginewithAntitheticVariate (bool b=true)
 
 operator boost::shared_ptr< PricingEngine > () const
 

Detailed Description

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

Monte Carlo digital engine factory.