MakeMCEuropeanGJRGARCHEngine< RNG, S > Class Template Reference

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

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

Public Member Functions
	MakeMCEuropeanGJRGARCHEngine (const ext::shared_ptr< GJRGARCHProcess > &)
MakeMCEuropeanGJRGARCHEngine &	withSteps (Size steps)
MakeMCEuropeanGJRGARCHEngine &	withStepsPerYear (Size steps)
MakeMCEuropeanGJRGARCHEngine &	withSamples (Size samples)
MakeMCEuropeanGJRGARCHEngine &	withAbsoluteTolerance (Real tolerance)
MakeMCEuropeanGJRGARCHEngine &	withMaxSamples (Size samples)
MakeMCEuropeanGJRGARCHEngine &	withSeed (BigNatural seed)
MakeMCEuropeanGJRGARCHEngine &	withAntitheticVariate (bool b=true)
	operator ext::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.