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, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protected
antitheticVariateCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
brownianBridge_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
brownianBridgeCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
calculate() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > |
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 > | protected virtual
controlPathPricer() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected virtual
controlPricingEngine() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected virtual
controlVariate_ (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protected
controlVariateValue() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected virtual
errorEstimate() const | McSimulation< SingleVariate, RNG, S > |
lsmPathPricer() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected virtual
maxError(const Sequence &sequence) (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protected static
maxError(Real error) (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protected static
maxSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected

MCAmericanEngine(const boost::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 >(), boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >()) (defined in MCAmericanEngine< RNG, S, RNG_Calibration >)

MCAmericanEngine< RNG, S, RNG_Calibration >

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< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >

mcModel_ (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | mutable protected
mcModelCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | mutable protected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > | protected
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
path_generator_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > |
path_generator_type_calibration typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > |
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > |
path_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > |
pathGenerator() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected virtual
pathPricer() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected virtual
pathPricer_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | mutable protected
process_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
requiredSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
result_type typedef (defined in McSimulation< SingleVariate, RNG, S >) | McSimulation< SingleVariate, RNG, S > |
sampleAccumulator(void) const | McSimulation< SingleVariate, RNG, S > |
seed_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
seedCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
stats_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > |
timeGrid() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected virtual
timeSteps_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | protected
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