MakeMCEuropeanGJRGARCHEngine< RNG, S > Class Template Reference

Monte Carlo GJR-GARCH European engine factory. More...

#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>

List of all members.

Public Member Functions

 MakeMCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &)
MakeMCEuropeanGJRGARCHEnginewithSteps (Size steps)
MakeMCEuropeanGJRGARCHEnginewithStepsPerYear (Size steps)
MakeMCEuropeanGJRGARCHEnginewithSamples (Size samples)
MakeMCEuropeanGJRGARCHEnginewithAbsoluteTolerance (Real tolerance)
MakeMCEuropeanGJRGARCHEnginewithMaxSamples (Size samples)
MakeMCEuropeanGJRGARCHEnginewithSeed (BigNatural seed)
MakeMCEuropeanGJRGARCHEnginewithAntitheticVariate (bool b=true)
 operator boost::shared_ptr< PricingEngine > () const

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MakeMCEuropeanGJRGARCHEngine< RNG, S >

Monte Carlo GJR-GARCH European engine factory.