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

The man page MCPathBasketEngine(3) is an alias of QuantLib_MCPathBasketEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib