- 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.