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  • Committer: Bazaar Package Importer
  • Author(s): Dirk Eddelbuettel
  • Date: 2009-12-03 21:23:12 UTC
  • mfrom: (1.2.11 upstream) (3.1.5 sid)
  • Revision ID: james.westby@ubuntu.com-20091203212312-b5xqdch18rgr5vc5
Tags: 0.9.9-1
* New upstream release
* As before, re-packaged upstream file QuantLib-docs-0.9.9.html.tar.gz 
  as described in the copyright file included with the Debian package.

* debian/control: Updated Standards-Version: to current version 

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html/class_quant_lib_1_1_m_c_american_engine.html
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</div>
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<div id="menu">
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<h3 class="navbartitle">Version 0.9.7</h3>
 
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<h3 class="navbartitle">Version 0.9.9</h3>
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<hr>
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<h3 class="navbartitle">Getting started</h3>
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<ul class="navbarlist">
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<li class="navlink"><a href="index.html">Introduction</a></li>
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<li class="navlink"><a href="overview.html">Project overview</a></li>
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<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
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<li class="navlink"><a href="install.html">Installation</a></li>
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<li class="navlink"><a href="config.html">Configuration</a></li>
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<div class="dynsection">
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<p><center><img src="class_quant_lib_1_1_m_c_american_engine__inherit__graph.png" border="0" usemap="#_m_c_american_engine__inherit__map" alt="Inheritance graph"></center>
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<map name="_m_c_american_engine__inherit__map">
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<area shape="rect" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="Longstaff&#45;Schwarz Monte Carlo engine for early exercise options." alt="" coords="5,5,589,32"></map>
 
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<area shape="rect" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="Longstaff&#45;Schwarz Monte Carlo engine for early exercise options." alt="" coords="5,5,589,35"></map>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<p>
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<tr><td></td></tr>
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="73454652e68770cb5adb2437251cc002"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::MCAmericanEngine" ref="73454652e68770cb5adb2437251cc002" args="(const boost::shared_ptr&lt; GeneralizedBlackScholesProcess &gt; &amp;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&lt; Size &gt;())" -->
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&nbsp;</td><td class="memItemRight" valign="bottom"><b>MCAmericanEngine</b> (const boost::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> &gt; &amp;process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>&lt; Size &gt;())</td></tr>
 
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&nbsp;</td><td class="memItemRight" valign="bottom"><b>MCAmericanEngine</b> (const boost::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> &gt; &amp;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&lt; Size &gt;())</td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::calculate" ref="10873979f635888606e03f9cb2d8a096" args="() const " -->
 
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void&nbsp;</td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
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<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28490b0f4cbe9f020578b2ad6faf5f8c"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::lsmPathPricer" ref="28490b0f4cbe9f020578b2ad6faf5f8c" args="() const " -->
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American Monte Carlo engine. 
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<p>
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References:<p>
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<dl compact><dt><b><a class="el" href="test.html#_test000118">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
 
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<dl compact><dt><b><a class="el" href="test.html#_test000121">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
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</div>
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</div>