com.github.vonrosen.quantlib

Class MCBarrierEngine

java.lang.Object

com.github.vonrosen.quantlib.PricingEngine

com.github.vonrosen.quantlib.MCBarrierEngine

public class MCBarrierEngine
extends PricingEngine

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.PricingEngine

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps, long timeStepsPerYear)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps, long timeStepsPerYear, boolean brownianBridge)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps, long timeStepsPerYear, boolean brownianBridge, boolean antitheticVariate)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps, long timeStepsPerYear, boolean brownianBridge, boolean antitheticVariate, int requiredSamples)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps, long timeStepsPerYear, boolean brownianBridge, boolean antitheticVariate, int requiredSamples, double requiredTolerance)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps, long timeStepsPerYear, boolean brownianBridge, boolean antitheticVariate, int requiredSamples, double requiredTolerance, int maxSamples)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps, long timeStepsPerYear, boolean brownianBridge, boolean antitheticVariate, int requiredSamples, double requiredTolerance, int maxSamples, boolean isBiased)
	MCBarrierEngine(GeneralizedBlackScholesProcess process, String traits, long timeSteps, long timeStepsPerYear, boolean brownianBridge, boolean antitheticVariate, int requiredSamples, double requiredTolerance, int maxSamples, boolean isBiased, int seed)
protected	MCBarrierEngine(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(MCBarrierEngine obj)

Methods inherited from class com.github.vonrosen.quantlib.PricingEngine

__deref__, getCPtr, isNull

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MCBarrierEngine

protected MCBarrierEngine(long cPtr,
                          boolean cMemoryOwn)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps,
                       long timeStepsPerYear,
                       boolean brownianBridge,
                       boolean antitheticVariate,
                       int requiredSamples,
                       double requiredTolerance,
                       int maxSamples,
                       boolean isBiased,
                       int seed)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps,
                       long timeStepsPerYear,
                       boolean brownianBridge,
                       boolean antitheticVariate,
                       int requiredSamples,
                       double requiredTolerance,
                       int maxSamples,
                       boolean isBiased)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps,
                       long timeStepsPerYear,
                       boolean brownianBridge,
                       boolean antitheticVariate,
                       int requiredSamples,
                       double requiredTolerance,
                       int maxSamples)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps,
                       long timeStepsPerYear,
                       boolean brownianBridge,
                       boolean antitheticVariate,
                       int requiredSamples,
                       double requiredTolerance)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps,
                       long timeStepsPerYear,
                       boolean brownianBridge,
                       boolean antitheticVariate,
                       int requiredSamples)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps,
                       long timeStepsPerYear,
                       boolean brownianBridge,
                       boolean antitheticVariate)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps,
                       long timeStepsPerYear,
                       boolean brownianBridge)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps,
                       long timeStepsPerYear)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits,
                       long timeSteps)

MCBarrierEngine

public MCBarrierEngine(GeneralizedBlackScholesProcess process,
                       String traits)

Method Detail

getCPtr

protected static long getCPtr(MCBarrierEngine obj)

finalize

protected void finalize()

Overrides:

finalize in class PricingEngine

delete

public void delete()

Overrides:

delete in class PricingEngine