QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
MCEuropeanGJRGARCHEngine< RNG, S > Member List

This is the complete list of members for MCEuropeanGJRGARCHEngine< RNG, S >, including all inherited members.

antitheticVariate_ (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >protected
brownianBridge_ (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
calculate() const (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >
McSimulation< MultiVariate, RNG, S >::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) constMcSimulation< MultiVariate, RNG, S >
controlPathGenerator() const (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >protectedvirtual
controlPathPricer() const (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >protectedvirtual
controlPricingEngine() const (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >protectedvirtual
controlVariate_ (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >protected
controlVariateValue() const (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protectedvirtual
errorEstimate() constMcSimulation< MultiVariate, RNG, S >
maxError(const Sequence &sequence) (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >protectedstatic
maxError(Real error) (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >protectedstatic
maxSamples_ (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
MCEuropeanGJRGARCHEngine(const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) (defined in MCEuropeanGJRGARCHEngine< RNG, S >)MCEuropeanGJRGARCHEngine< RNG, S >
mcModel_ (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >mutableprotected
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >protected
MCVanillaEngine(const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
path_generator_type typedef (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
path_pricer_type typedef (defined in MCEuropeanGJRGARCHEngine< RNG, S >)MCEuropeanGJRGARCHEngine< RNG, S >
pathGenerator() const (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protectedvirtual
pathPricer() const (defined in MCEuropeanGJRGARCHEngine< RNG, S >)MCEuropeanGJRGARCHEngine< RNG, S >protectedvirtual
process_ (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
requiredSamples_ (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
requiredTolerance_ (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
result_type typedef (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
sampleAccumulator(void) constMcSimulation< MultiVariate, RNG, S >
seed_ (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
stats_type typedef (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
timeGrid() const (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protectedvirtual
timeSteps_ (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
timeStepsPerYear_ (defined in MCVanillaEngine< MultiVariate, RNG, S >)MCVanillaEngine< MultiVariate, RNG, S >protected
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) constMcSimulation< MultiVariate, RNG, S >
valueWithSamples(Size samples) constMcSimulation< MultiVariate, RNG, S >
~McSimulation() (defined in McSimulation< MultiVariate, RNG, S >)McSimulation< MultiVariate, RNG, S >virtual