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QuantLib_MCAmericanEngine
Langue: en
Version: 376976 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCAmericanEngine -American Monte Carlo engine.
SYNOPSIS
#include <ql/pricingengines/vanilla/mcamericanengine.hpp>
Inherits MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >.
Public Member Functions
MCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >())
void calculate () const
Protected Member Functions
boost::shared_ptr< LongstaffSchwartzPathPricer< Path > > lsmPathPricer () const
Real controlVariateValue () const
boost::shared_ptr< PricingEngine > controlPricingEngine () const
boost::shared_ptr< PathPricer< Path > > controlPathPricer () const
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCAmericanEngine< RNG, S >
American Monte Carlo engine.References:
Tests
- the correctness of the returned value is tested by reproducing results available in web/literature
Author
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