QuantLib_MCPerformanceEngine man page

MCPerformanceEngine< RNG, S > — Pricing engine for performance options using Monte Carlo simulation.  

Synopsis

#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

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

Public Types

typedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type
typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type
typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type

Public Member Functions

MCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, 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< GeneralizedBlackScholesProcess > process_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_

Additional Inherited Members

Detailed Description

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

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MCPerformanceEngine(3) is an alias of QuantLib_MCPerformanceEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib