QuantLib_MCEuropeanHestonEngine man page

MCEuropeanHestonEngine< RNG, S, P > — Monte Carlo Heston-model engine for European options.

Synopsis

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

Inherits MCVanillaEngine< MultiVariate, RNG, S >.

Public Types

typedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type

Public Member Functions

MCEuropeanHestonEngine (const boost::shared_ptr< P > &, Size timeSteps, Size timeStepsPerYear, 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 P = HestonProcess>

class QuantLib::MCEuropeanHestonEngine< RNG, S, P >" Monte Carlo Heston-model engine for European options.

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

MCEuropeanHestonEngine(3) is an alias of QuantLib_MCEuropeanHestonEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib