QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.6

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MCBarrierEngine< RNG, S > Member List

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

antitheticVariate_ (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protected
arguments_ (defined in GenericEngine< BarrierOption::arguments, BarrierOption::results >) | GenericEngine< BarrierOption::arguments, BarrierOption::results > | mutableprotected
brownianBridge_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
calculate() const (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | virtual
McSimulation< SingleVariate, RNG, S >::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) const | McSimulation< SingleVariate, RNG, S > |
controlPathGenerator() const (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protectedvirtual
controlPathPricer() const (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protectedvirtual
controlPricingEngine() const (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protectedvirtual
controlVariate_ (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protected
controlVariateValue() const (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protectedvirtual
errorEstimate() const | McSimulation< SingleVariate, RNG, S > |
getArguments() const (defined in GenericEngine< BarrierOption::arguments, BarrierOption::results >) | GenericEngine< BarrierOption::arguments, BarrierOption::results > | virtual
getResults() const (defined in GenericEngine< BarrierOption::arguments, BarrierOption::results >) | GenericEngine< BarrierOption::arguments, BarrierOption::results > | virtual
isBiased_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
maxError(const Sequence &sequence) (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protectedstatic
maxError(Real error) (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protectedstatic
maxSamples_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
MCBarrierEngine(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, bool isBiased, BigNatural seed) (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > |
mcModel_ (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | mutableprotected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | 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 MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > |
path_pricer_type typedef (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > |
pathGenerator() const (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protectedvirtual
pathPricer() const (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protectedvirtual
process_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const boost::shared_ptr< Observer > &) | Observer |
requiredSamples_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
requiredTolerance_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
reset() (defined in GenericEngine< BarrierOption::arguments, BarrierOption::results >) | GenericEngine< BarrierOption::arguments, BarrierOption::results > | virtual
result_type typedef (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > |
results_ (defined in GenericEngine< BarrierOption::arguments, BarrierOption::results >) | GenericEngine< BarrierOption::arguments, BarrierOption::results > | mutableprotected
sampleAccumulator(void) const | McSimulation< SingleVariate, RNG, S > |
seed_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
stats_type typedef (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > |
timeGrid() const (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protectedvirtual
timeSteps_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
timeStepsPerYear_ (defined in MCBarrierEngine< RNG, S >) | MCBarrierEngine< RNG, S > | protected
triggered(Real underlying) const (defined in BarrierOption::engine) | BarrierOption::engine | protected
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | GenericEngine< BarrierOption::arguments, BarrierOption::results > | virtual
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const | McSimulation< SingleVariate, RNG, S > |
valueWithSamples(Size samples) const | McSimulation< SingleVariate, RNG, S > |
~McSimulation() (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual
~PricingEngine() (defined in PricingEngine) | PricingEngine | virtual