QuantLib: MakeMCLookbackEngine< I, RNG, S

Monte Carlo lookback-option engine factory. More...

#include <ql/pricingengines/lookback/mclookbackengine.hpp>

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

Detailed Description

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

Monte Carlo lookback-option engine factory.