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QuantLib_MCEuropeanEngine
Langue: en
Version: 379814 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCEuropeanEngine -European option pricing engine using Monte Carlo simulation.
SYNOPSIS
#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>
Inherits MCVanillaEngine< SingleVariate, RNG, S >.
Public Types
typedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type
typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type
typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type
Public Member Functions
MCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
Protected Member Functions
boost::shared_ptr< path_pricer_type > pathPricer () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanEngine< RNG, S >
European option pricing engine using Monte Carlo simulation.Tests
- the correctness of the returned value is tested by checking it against analytic results.
Author
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Contenus ©2006-2024 Benjamin Poulain
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