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

MCVanillaEngine(3) is an alias of QuantLib_MCVanillaEngine(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib