QuantLib_MCPathBasketEngine man page

MCPathBasketEngine< RNG, S > — Pricing engine for path dependent basket options using.

Synopsis

#include <ql/experimental/mcbasket/mcpathbasketengine.hpp>

Inherits PathMultiAssetOption::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

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

void calculate () const

Protected Member Functions

TimeGrid timeGrid () const

boost::shared_ptr< path_generator_type > pathGenerator () const

boost::shared_ptr< path_pricer_type > pathPricer () const

Protected Attributes

boost::shared_ptr< StochasticProcessArray > process_

Size timeSteps_

Size timeStepsPerYear_

Size requiredSamples_

Size maxSamples_

Real requiredTolerance_

bool brownianBridge_

BigNatural seed_

Additional Inherited Members

Detailed Description

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

class QuantLib::MCPathBasketEngine< RNG, S >" Pricing engine for path dependent basket options using.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MCPathBasketEngine(3) is an alias of QuantLib_MCPathBasketEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib