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QuantLib_MCEuropeanBasketEngine
Langue: en
Version: 377416 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCEuropeanBasketEngine -Pricing engine for European basket options using Monte Carlo simulation.
SYNOPSIS
#include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>
Inherits QuantLib::BasketOption::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
MCEuropeanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, 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
boost::shared_ptr< StochasticProcessArray > processes_
Size timeSteps_
Size timeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanBasketEngine< RNG, S >
Pricing engine for European basket options using Monte Carlo simulation.Tests
- the correctness of the returned value is tested by reproducing results available in literature.
Author
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