QuantLib_MCPagodaEngine man page

MCPagodaEngine< RNG, S > — Pricing engine for pagoda options using Monte Carlo simulation.

Synopsis

#include <ql/experimental/exoticoptions/mcpagodaengine.hpp>

Inherits PagodaOption::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

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

void calculate () const

Additional Inherited Members

Detailed Description

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

class QuantLib::MCPagodaEngine< RNG, S >" Pricing engine for pagoda options using Monte Carlo simulation.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MCPagodaEngine(3) is an alias of QuantLib_MCPagodaEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib