MCVanillaEngine (3) - Linux Manuals

MCVanillaEngine: Pricing engine for vanilla options using Monte Carlo simulation.

NAME

QuantLib::MCVanillaEngine - Pricing engine for vanilla options using Monte Carlo simulation.

SYNOPSIS

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

Inherits Inst::engine, and McSimulation< MC, RNG, S >.

Public Member Functions

void calculate () const

Protected Types

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

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

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

typedef McSimulation< MC, RNG, S >::result_type result_type

Protected Member Functions

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

TimeGrid timeGrid () const

boost::shared_ptr< path_generator_type > pathGenerator () const

result_type controlVariateValue () const

Protected Attributes

boost::shared_ptr< StochasticProcess > process_

Size timeSteps_

Size timeStepsPerYear_

Size requiredSamples_

Size maxSamples_

Real requiredTolerance_

bool brownianBridge_

BigNatural seed_

Detailed Description

template<template< class > class MC, class RNG, class S = Statistics, class Inst = VanillaOption> class QuantLib::MCVanillaEngine< MC, RNG, S, Inst >

Pricing engine for vanilla options using Monte Carlo simulation.

Author

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