Rechercher une page de manuel
QuantLib_MCPagodaEngine
Langue: en
Version: 377114 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCPagodaEngine -Pricing engine for pagoda options using Monte Carlo simulation.
SYNOPSIS
#include <ql/experimental/exoticoptions/mcpagodaengine.hpp>
Inherits QuantLib::PagodaOption::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
MCPagodaEngine (const boost::shared_ptr< StochasticProcessArray > &, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void calculate () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCPagodaEngine< RNG, S >
Pricing engine for pagoda options using Monte Carlo simulation.Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre