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QuantLib_MCVanillaEngine
Langue: en
Version: 373635 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCVanillaEngine -Pricing engine for vanilla options using Monte Carlo simulation.
SYNOPSIS
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
Inherits Inst::engine, and QuantLib::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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