QuantLib_MCEuropeanBasketEngine man page

MCEuropeanBasketEngine< RNG, S > — Pricing engine for European basket options using Monte Carlo simulation.  

Synopsis

#include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>

Inherits 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_

Additional Inherited Members

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages MCEuropeanBasketEngine(3) and processes_(3) are aliases of QuantLib_MCEuropeanBasketEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib