QuantLib_MCAmericanEngine man page

MCAmericanEngine< RNG, S, RNG_Calibration > — American Monte Carlo engine.

Synopsis

#include <ql/pricingengines/vanilla/mcamericanengine.hpp>

Inherits MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >.

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 >(), boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=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

Additional Inherited Members

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics, class RNG_Calibration = RNG>

class QuantLib::MCAmericanEngine< RNG, S, RNG_Calibration >" American Monte Carlo engine.

References:

Tests

the correctness of the returned value is tested by reproducing results available in web/literature

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

controlPathPricer(3), controlPricingEngine(3), controlVariateValue(3) and MCAmericanEngine(3) are aliases of QuantLib_MCAmericanEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib