QuantLib_MCVanillaEngine man page

MCVanillaEngine< MC, RNG, S, Inst > — Pricing engine for vanilla options using Monte Carlo simulation.  

Synopsis

#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>

Inherits engine, and McSimulation< MC, RNG, S >.

Public Member Functions

void calculate () const

Protected Types

typedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type
typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type
typedef McSimulation< MC, RNG, S >::stats_type stats_type
typedef McSimulation< MC, RNG, S >::result_type result_type

Protected Member Functions

MCVanillaEngine (const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
TimeGrid timeGrid () const
boost::shared_ptr< path_generator_type > pathGenerator () const
result_type controlVariateValue () const

Protected Attributes

boost::shared_ptr< StochasticProcess > process_
Size timeSteps_
Size timeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_

Additional Inherited Members

Detailed Description

template<template< class > class MC, class RNG, class S = Statistics, class Inst = VanillaOption>

class QuantLib::MCVanillaEngine< MC, RNG, S, Inst >" Pricing engine for vanilla options using Monte Carlo simulation.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MCVanillaEngine(3) is an alias of QuantLib_MCVanillaEngine(3).

Wed Aug 2 2017 Version 1.10 QuantLib