MCAmericanEngine< RNG, S, RNG_Calibration > Class Template Reference

American Monte Carlo engine. More...

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

Inheritance diagram for MCAmericanEngine< RNG, S, RNG_Calibration >:

Public Member Functions
	MCAmericanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomialOrder, LsmBasisSystem::PolynomialType polynomialType, Size nCalibrationSamples=Null< Size >(), const ext::optional< bool > &antitheticVariateCalibration=ext::nullopt, BigNatural seedCalibration=Null< Size >())
void	calculate () const override
Public Member Functions inherited from MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, 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 McSimulation< SingleVariate, 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< Path > >	lsmPathPricer () const override
Real	controlVariateValue () const override
ext::shared_ptr< PricingEngine >	controlPricingEngine () const override
ext::shared_ptr< PathPricer< Path > >	controlPathPricer () const override
Protected Member Functions inherited from MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, 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< SingleVariate, PseudoRandom, Statistics >
	McSimulation (bool antitheticVariate, bool controlVariate)
virtual ext::shared_ptr< path_generator_type >	controlPathGenerator () const

Additional Inherited Members
Public Types inherited from MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >
typedef SingleVariate< PseudoRandom >::path_type	path_type
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::stats_type	stats_type
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::path_pricer_type	path_pricer_type
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type_calibration
Public Types inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::path_pricer_type	path_pricer_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::stats_type	stats_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::result_type	result_type
Static Protected Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
static Real	maxError (const Sequence &sequence)
Protected Attributes inherited from MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, 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< SingleVariate, PseudoRandom, Statistics > >	mcModelCalibration_
Protected Attributes inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
ext::shared_ptr< MonteCarloModel< SingleVariate, PseudoRandom, Statistics > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics, class RNG_Calibration = RNG>
class QuantLib::MCAmericanEngine< RNG, S, RNG_Calibration >

American Monte Carlo engine.

References:

Tests

the correctness of the returned value is tested by reproducing results available in web/literature

Member Function Documentation

lsmPathPricer()

template<class RNG, class S, class RNG_Calibration>

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

overrideprotectedvirtual

Implements MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >.

controlVariateValue()

template<class RNG, class S, class RNG_Calibration>

Real controlVariateValue ( ) const

overrideprotectedvirtual

Reimplemented from McSimulation< SingleVariate, PseudoRandom, Statistics >.

controlPricingEngine()

template<class RNG, class S, class RNG_Calibration>

ext::shared_ptr< PricingEngine > controlPricingEngine ( ) const

overrideprotectedvirtual

Reimplemented from McSimulation< SingleVariate, PseudoRandom, Statistics >.

controlPathPricer()

template<class RNG, class S, class RNG_Calibration>

ext::shared_ptr< PathPricer< Path > > controlPathPricer ( ) const

overrideprotectedvirtual

Reimplemented from McSimulation< SingleVariate, PseudoRandom, Statistics >.