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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