QuantLib_MCHullWhiteCapFloorEngine man page

MCHullWhiteCapFloorEngine< RNG, S > — Monte Carlo Hull-White engine for cap/floors.

Synopsis

#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

Inherits CapFloor::engine, and McSimulation< SingleVariate, RNG, S >.

Public Types

typedef simulation::path_generator_type path_generator_type

typedef simulation::path_pricer_type path_pricer_type

typedef simulation::stats_type stats_type

Public Member Functions

MCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

void calculate () const

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const

TimeGrid timeGrid () const

boost::shared_ptr< path_generator_type > pathGenerator () const

Additional Inherited Members

Detailed Description

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

class QuantLib::MCHullWhiteCapFloorEngine< RNG, S >" Monte Carlo Hull-White engine for cap/floors.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MCHullWhiteCapFloorEngine(3) is an alias of QuantLib_MCHullWhiteCapFloorEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib