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, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected
antitheticVariateCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
brownianBridge_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
brownianBridgeCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
calculate() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > |
calculate() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > |
McSimulation< SingleVariate, PseudoRandom, Statistics >::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) const | McSimulation< SingleVariate, PseudoRandom, Statistics > |
controlPathGenerator() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected virtual
controlPathPricer() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected
controlPathPricer() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected virtual
controlPricingEngine() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected
controlPricingEngine() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected virtual
controlVariate_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected
controlVariateValue() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected
controlVariateValue() const (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected virtual
errorEstimate() const | McSimulation< SingleVariate, PseudoRandom, Statistics > |
lsmPathPricer() const (defined in MCAmericanEngine< RNG, S, RNG_Calibration >) | MCAmericanEngine< RNG, S, RNG_Calibration > | protected
lsmPathPricer() const=0 (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected pure virtual
maxError(const Sequence &sequence) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected static
maxError(Real error) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected static
maxSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected

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

MCAmericanEngine< RNG, S, RNG_Calibration >

MCLongstaffSchwartzEngine(const ext::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, PseudoRandom, Statistics, PseudoRandom >

mcModel_ (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | mutable protected
mcModelCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | mutable protected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | protected
nCalibrationSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
path_generator_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > |
path_generator_type_calibration typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > |
path_pricer_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > |
path_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > |
pathGenerator() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected virtual
pathPricer() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected virtual
pathPricer_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | mutable protected
process_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
requiredSamples_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
requiredTolerance_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
result_type typedef (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > |
sampleAccumulator() const | McSimulation< SingleVariate, PseudoRandom, Statistics > |
seed_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
seedCalibration_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
stats_type typedef (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > |
timeGrid() const (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected virtual
timeSteps_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
timeStepsPerYear_ (defined in MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >) | MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom > | protected
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const | McSimulation< SingleVariate, PseudoRandom, Statistics > |
valueWithSamples(Size samples) const | McSimulation< SingleVariate, PseudoRandom, Statistics > |
~McSimulation() (defined in McSimulation< SingleVariate, PseudoRandom, Statistics >) | McSimulation< SingleVariate, PseudoRandom, Statistics > | virtual