MCAmericanBasketEngine< RNG > Class Template Reference

least-square Monte Carlo engine More...

#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

Inheritance diagram for MCAmericanBasketEngine< RNG >:

Public Member Functions
	MCAmericanBasketEngine (const ext::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), Size polynomialOrder=2, LsmBasisSystem::PolynomialType polynomialType=LsmBasisSystem::Monomial)
Public Member Functions inherited from MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
	MCLongstaffSchwartzEngine (ext::shared_ptr< StochasticProcess > process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), ext::optional< bool > brownianBridgeCalibration=ext::nullopt, ext::optional< bool > antitheticVariateCalibration=ext::nullopt, BigNatural seedCalibration=Null< Size >())
void	calculate () const override
Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
result_type	value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
	add samples until the required absolute tolerance is reached
result_type	valueWithSamples (Size samples) const
	simulate a fixed number of samples
result_type	errorEstimate () const
	error estimated using the samples simulated so far
const stats_type &	sampleAccumulator () const
	access to the sample accumulator for richer statistics
void	calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
	basic calculate method provided to inherited pricing engines

Protected Member Functions
ext::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > >	lsmPathPricer () const override
Protected Member Functions inherited from MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
TimeGrid	timeGrid () const override
ext::shared_ptr< path_pricer_type >	pathPricer () const override
ext::shared_ptr< path_generator_type >	pathGenerator () const override
Protected Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
	McSimulation (bool antitheticVariate, bool controlVariate)
virtual ext::shared_ptr< path_pricer_type >	controlPathPricer () const
virtual ext::shared_ptr< path_generator_type >	controlPathGenerator () const
virtual ext::shared_ptr< PricingEngine >	controlPricingEngine () const
virtual result_type	controlVariateValue () const

Additional Inherited Members
Public Types inherited from MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
typedef MultiVariate< PseudoRandom >::path_type	path_type
typedef McSimulation< MultiVariate, PseudoRandom, Statistics >::stats_type	stats_type
typedef McSimulation< MultiVariate, PseudoRandom, Statistics >::path_pricer_type	path_pricer_type
typedef McSimulation< MultiVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type
typedef McSimulation< MultiVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type_calibration
Public Types inherited from Observer
typedef set_type::iterator	iterator
Public Types inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type
typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::path_pricer_type	path_pricer_type
typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::stats_type	stats_type
typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::result_type	result_type
Static Protected Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
static Real	maxError (const Sequence &sequence)
Protected Attributes inherited from MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
ext::shared_ptr< StochasticProcess >	process_
const Size	timeSteps_
const Size	timeStepsPerYear_
const bool	brownianBridge_
const Size	requiredSamples_
const Real	requiredTolerance_
const Size	maxSamples_
const BigNatural	seed_
const Size	nCalibrationSamples_
const bool	brownianBridgeCalibration_
const bool	antitheticVariateCalibration_
const BigNatural	seedCalibration_
ext::shared_ptr< LongstaffSchwartzPathPricer< path_type > >	pathPricer_
ext::shared_ptr< MonteCarloModel< MultiVariate, PseudoRandom, Statistics > >	mcModelCalibration_
Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments	arguments_
BasketOption::results	results_
Protected Attributes inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
ext::shared_ptr< MonteCarloModel< MultiVariate, PseudoRandom, Statistics > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

Detailed Description

template<class RNG = PseudoRandom>
class QuantLib::MCAmericanBasketEngine< RNG >

least-square Monte Carlo engine

Warning

This method is intrinsically weak for out-of-the-money options.

Member Function Documentation

lsmPathPricer()

template<class RNG>

ext::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer ( ) const

overrideprotectedvirtual

Implements MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >.