MCEuropeanEngine (3) - Linux Manuals

MCEuropeanEngine: European option pricing engine using Monte Carlo simulation.

Command to display MCEuropeanEngine manual in Linux: $ man 3 MCEuropeanEngine

NAME

QuantLib::MCEuropeanEngine - European option pricing engine using Monte Carlo simulation.

SYNOPSIS

#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>

Inherits MCVanillaEngine< SingleVariate, RNG, S >.

Public Types

typedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type

typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type

typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type

Public Member Functions

MCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const

Detailed Description

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

European option pricing engine using Monte Carlo simulation.

Tests

: the correctness of the returned value is tested by checking it against analytic results.

Author

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