antitheticVariate_ (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected |
arguments_ (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | mutableprotected |
brownianBridge_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
calculate() const (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | virtual |
QuantLib::McSimulation::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) const | McSimulation< MC, RNG, S > | |
controlPathGenerator() const (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protectedvirtual |
controlPathPricer() const (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protectedvirtual |
controlPricingEngine() const (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protectedvirtual |
controlVariate_ (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected |
controlVariateValue() const (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protectedvirtual |
errorEstimate() const | McSimulation< MC, RNG, S > | |
getArguments() const (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | virtual |
getResults() const (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | virtual |
lsmPathPricer() const =0 (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protectedpure virtual |
maxError(const Sequence &sequence) (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protectedstatic |
maxError(Real error) (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protectedstatic |
maxSamples_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
MCLongstaffSchwartzPathEngine(const boost::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
mcModel_ (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | mutableprotected |
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | protected |
nCalibrationSamples_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
notifyObservers() | Observable | |
Observable() (defined in Observable) | Observable | |
Observable(const Observable &) (defined in Observable) | Observable | |
Observer() (defined in Observer) | Observer | |
Observer(const Observer &) (defined in Observer) | Observer | |
QuantLib::operator=(const Observable &) | Observable | |
operator=(const Observer &) (defined in Observer) | Observer | |
path_generator_type typedef (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
path_pricer_type typedef (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
path_type typedef (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
pathGenerator() const (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protectedvirtual |
pathPricer() const (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protectedvirtual |
pathPricer_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | mutableprotected |
process_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer | |
requiredSamples_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
requiredTolerance_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
reset() (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | virtual |
result_type typedef (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | |
results_ (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | mutableprotected |
sampleAccumulator(void) const | McSimulation< MC, RNG, S > | |
seed_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
stats_type typedef (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
timeGrid() const (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protectedvirtual |
timeSteps_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
timeStepsPerYear_ (defined in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >) | MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | protected |
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer | |
unregisterWithAll() | Observer | |
update() (defined in GenericEngine< ArgumentsType, ResultsType >) | GenericEngine< ArgumentsType, ResultsType > | virtual |
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const | McSimulation< MC, RNG, S > | |
valueWithSamples(Size samples) const | McSimulation< MC, RNG, S > | |
~McSimulation() (defined in McSimulation< MC, RNG, S >) | McSimulation< MC, RNG, S > | virtual |
~Observable() (defined in Observable) | Observable | virtual |
~Observer() (defined in Observer) | Observer | virtual |
~PricingEngine() (defined in PricingEngine) | PricingEngine | virtual |