MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > Member List

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

antitheticVariate_ (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected
antitheticVariateCalibration_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
arguments_ (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | mutable protected
brownianBridge_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
brownianBridgeCalibration_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
calculate() const (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | virtual
QuantLib::McSimulation::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) const | McSimulation< MC, RNG, S > |
controlPathGenerator() const (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected virtual
controlPathPricer() const (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected virtual
controlPricingEngine() const (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected virtual
controlVariate_ (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected
controlVariateValue() const (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected virtual
deepUpdate() | Observer | virtual
errorEstimate() const | McSimulation< MC, RNG, S > |
getArguments() const (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | virtual
getResults() const (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | virtual
iterator typedef (defined in Observer) | Observer |
lsmPathPricer() const =0 (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected pure virtual
maxError(const Sequence &sequence) (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected static
maxError(Real error) (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected static
maxSamples_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected

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 >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >())

MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >

mcModel_ (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | mutable protected
mcModelCalibration_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | mutable protected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | 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< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > |
path_generator_type_calibration typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > |
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > |
path_type typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > |
pathGenerator() const (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected virtual
pathPricer() const (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected virtual
pathPricer_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | mutable protected
process_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const boost::shared_ptr< Observer > &) | Observer |
requiredSamples_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
reset() (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | virtual
result_type typedef (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > |
results_ (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | mutable protected
sampleAccumulator(void) const | McSimulation< MC, RNG, S > |
seed_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
seedCalibration_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
set_type typedef (defined in Observer) | Observer |
stats_type typedef (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > |
timeGrid() const (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected virtual
timeSteps_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | protected
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | GenericEngine< ArgumentsType, ResultsType > | virtual
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const | McSimulation< MC, RNG, S > |
valueWithSamples(Size samples) const | McSimulation< MC, RNG, S > |
~McSimulation() (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual
~PricingEngine() (defined in PricingEngine) | PricingEngine | virtual