- QuantLib
- MCEuropeanGJRGARCHEngine
Monte Carlo GJR-GARCH-model engine for European options. More...
#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>
Public Types | |
typedef MCVanillaEngine < MultiVariate, RNG, S > ::path_pricer_type | path_pricer_type |
Public Member Functions | |
MCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
Protected Member Functions | |
boost::shared_ptr < path_pricer_type > | pathPricer () const |
Monte Carlo GJR-GARCH-model engine for European options.