valueWithSamples (3) - Linux Manuals

valueWithSamples: base class for Monte Carlo pricers

NAME

QuantLib::McPricer - base class for Monte Carlo pricers

SYNOPSIS

#include <ql/legacy/pricers/mcpricer.hpp>

Public Member Functions

Real value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
add samples until the required tolerance is reached
Real valueWithSamples (Size samples, Size minSamples=1023) const
simulate a fixed number of samples
Real errorEstimate () const
estimated error of the samples simulated so far
const S & sampleAccumulator (void) const
access to the sample accumulator for more statistics

Protected Attributes

boost::shared_ptr< MonteCarloModel< MC, RNG, S > > mcModel_

Detailed Description

template<template< class > class MC, class RNG, class S = Statistics> class QuantLib::McPricer< MC, RNG, S >

Eventually this class might be linked to the general tree of pricers, in order to have tools like impliedVolatility available. Also, it could, eventually, offer greeks methods. Deriving a class from McPricer gives an easy way to write a Monte Carlo Pricer. See McEuropean as example of one factor pricer, Basket as example of multi factor pricer.

Author

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