MCPathBasketEngine (3) - Linux Manuals

MCPathBasketEngine: Pricing engine for path dependent basket options using Monte Carlo simulation.

NAME

QuantLib::MCPathBasketEngine - Pricing engine for path dependent basket options using Monte Carlo simulation.

SYNOPSIS

#include <ql/experimental/mcbasket/mcpathbasketengine.hpp>

Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >.

Public Types

typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type

typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type

typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type

Public Member Functions

MCPathBasketEngine (Size timeSteps, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

void calculate () const

Protected Member Functions

TimeGrid timeGrid () const

boost::shared_ptr< path_generator_type > pathGenerator () const

boost::shared_ptr< path_pricer_type > pathPricer () const

Protected Attributes

Size timeSteps_

Size requiredSamples_

Size maxSamples_

Real requiredTolerance_

bool brownianBridge_

BigNatural seed_

Detailed Description

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

Pricing engine for path dependent basket options using Monte Carlo simulation.

Author

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