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QuantLib_McSimulation
Langue: en
Version: 375127 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::McSimulation -base class for Monte Carlo engines
SYNOPSIS
#include <ql/pricingengines/mcsimulation.hpp>
Inherited by MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >, MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >, MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, RNG >, MCVanillaEngine< MultiVariate, RNG, S >, MCVanillaEngine< SingleVariate, RNG, S >, MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >, MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >, and MCVanillaEngine< MC, RNG, S, Inst >.
Public Types
typedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type
typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type
typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type
typedef MonteCarloModel< MC, RNG, S >::result_type result_type
Public Member Functions
result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
add samples until the required absolute tolerance is reached
result_type valueWithSamples (Size samples) const
simulate a fixed number of samples
result_type errorEstimate () const
error estimated using the samples simulated so far
const stats_type & sampleAccumulator (void) const
access to the sample accumulator for richer statistics
void calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
basic calculate method provided to inherited pricing engines
Protected Member Functions
McSimulation (bool antitheticVariate, bool controlVariate)
virtual boost::shared_ptr< path_pricer_type > pathPricer () const =0
virtual boost::shared_ptr< path_generator_type > pathGenerator () const =0
virtual TimeGrid timeGrid () const =0
virtual boost::shared_ptr< path_pricer_type > controlPathPricer () const
virtual boost::shared_ptr< path_generator_type > controlPathGenerator () const
virtual boost::shared_ptr< PricingEngine > controlPricingEngine () const
virtual result_type controlVariateValue () const
Static Protected Member Functions
template<class Sequence > static Real maxError (const Sequence &sequence)
static Real maxError (Real error)
Protected Attributes
boost::shared_ptr< MonteCarloModel< MC, RNG, S > > mcModel_
bool antitheticVariate_
bool controlVariate_
Detailed Description
template<template< class > class MC, class RNG, class S = Statistics> class QuantLib::McSimulation< MC, RNG, S >
base class for Monte Carlo enginesEventually this class might offer greeks methods. Deriving a class from McSimulation gives an easy way to write a Monte Carlo engine.
See McVanillaEngine as an example.
Author
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Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre