1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: MCEuropeanHestonEngine Class Template Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_m_c_european_heston_engine.html">MCEuropeanHestonEngine</a></div>
<h1>MCEuropeanHestonEngine Class Template Reference<br>
<small>
[<a class="el" href="group__vanillaengines.html">Vanilla option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::MCEuropeanHestonEngine" --><!-- doxytag: inherits="QuantLib::MCVanillaEngine" --><code>#include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for MCEuropeanHestonEngine:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_m_c_european_heston_engine__inherit__graph.png" border="0" usemap="#_m_c_european_heston_engine__inherit__map" alt="Inheritance graph"></center>
<map name="_m_c_european_heston_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="Pricing engine for vanilla options using Monte Carlo simulation." alt="" coords="5,7,421,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_m_c_european_heston_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class RNG = PseudoRandom, class S = Statistics><br>
class QuantLib::MCEuropeanHestonEngine< RNG, S ></h3>
Monte Carlo Heston-model engine for European options.
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000115">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2ba17ea8df975b53e3408e72e67d539f"></a><!-- doxytag: member="QuantLib::MCEuropeanHestonEngine::path_pricer_type" ref="2ba17ea8df975b53e3408e72e67d539f" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</a><br>
< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, RNG, S ><br>
::path_pricer_type </td><td class="memItemRight" valign="bottom"><b>path_pricer_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e3c543d54e1e2f14546ec700d4393a20"></a><!-- doxytag: member="QuantLib::MCEuropeanHestonEngine::MCEuropeanHestonEngine" ref="e3c543d54e1e2f14546ec700d4393a20" args="(const boost::shared_ptr< HestonProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)" -->
</td><td class="memItemRight" valign="bottom"><b>MCEuropeanHestonEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > &, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeStepsPerYear, bool antitheticVariate, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples, <a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> seed)</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a5c470b91b90a3aae1cb34be08296738"></a><!-- doxytag: member="QuantLib::MCEuropeanHestonEngine::pathPricer" ref="a5c470b91b90a3aae1cb34be08296738" args="() const " -->
boost::shared_ptr<br>
< path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const </td></tr>
</table>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
