QuantLib_MCEuropeanEngine man page

MCEuropeanEngine< RNG, S > — European option pricing engine using Monte Carlo simulation.  

Synopsis

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

Inherits MCVanillaEngine< SingleVariate, RNG, S >.

Public Types

typedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type
typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type
typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type

Public Member Functions

MCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const

Additional Inherited Members

Detailed Description

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

class QuantLib::MCEuropeanEngine< RNG, S >" European option pricing engine using Monte Carlo simulation.

Tests

the correctness of the returned value is tested by checking it against analytic results.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MCEuropeanEngine(3) is an alias of QuantLib_MCEuropeanEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib