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
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: ql/methods/montecarlo Directory Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="dir_958d2abebb9d0797c141a9841f9d5d39.html">ql</a></li><li class="navelem"><a class="el" href="dir_cfd7e92b9616896823ae34fc8782de82.html">methods</a></li><li class="navelem"><a class="el" href="dir_b45e45812d658efc715698bd675a9934.html">montecarlo</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="headertitle">
<div class="title">montecarlo Directory Reference</div> </div>
</div><!--header-->
<div class="contents">
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="files"></a>
Files</h2></td></tr>
<tr class="memitem:brownianbridge_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>brownianbridge.hpp</b></td></tr>
<tr class="memdesc:brownianbridge_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Browian bridge. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:earlyexercisepathpricer_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>earlyexercisepathpricer.hpp</b></td></tr>
<tr class="memdesc:earlyexercisepathpricer_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">base class for early exercise single-path pricers <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:longstaffschwartzpathpricer_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>longstaffschwartzpathpricer.hpp</b></td></tr>
<tr class="memdesc:longstaffschwartzpathpricer_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Longstaff-Schwarz path pricer for early exercise options. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:lsmbasissystem_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>lsmbasissystem.hpp</b></td></tr>
<tr class="memdesc:lsmbasissystem_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">utility classes for Longstaff-Schwartz early-exercise Monte Carlo <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:mctraits_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>mctraits.hpp</b></td></tr>
<tr class="memdesc:mctraits_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo policies. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:montecarlomodel_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>montecarlomodel.hpp</b></td></tr>
<tr class="memdesc:montecarlomodel_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">General-purpose Monte Carlo model. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:multipath_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>multipath.hpp</b></td></tr>
<tr class="memdesc:multipath_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Correlated multiple asset paths. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:multipathgenerator_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>multipathgenerator.hpp</b></td></tr>
<tr class="memdesc:multipathgenerator_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Generates a multi path from a random-array generator. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:path_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>path.hpp</b></td></tr>
<tr class="memdesc:path_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">single factor random walk <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:pathgenerator_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>pathgenerator.hpp</b></td></tr>
<tr class="memdesc:pathgenerator_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Generates random paths using a sequence generator. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:pathpricer_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>pathpricer.hpp</b></td></tr>
<tr class="memdesc:pathpricer_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">base class for single-path pricers <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:sample_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>sample.hpp</b></td></tr>
<tr class="memdesc:sample_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">weighted sample <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
</table>
</div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
