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

The man page MCPagodaEngine(3) is an alias of QuantLib_MCPagodaEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib