MCAmericanPathEngine< RNG > Class Template Reference

least-square Monte Carlo engine More...

#include <ql/experimental/mcbasket/mcamericanpathengine.hpp>

Inheritance diagram for MCAmericanPathEngine< RNG >:

Public Member Functions
	MCAmericanPathEngine (const ext::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >())
Public Member Functions inherited from MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, PseudoRandom >
	MCLongstaffSchwartzPathEngine (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 >())
void	calculate () const
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< LongstaffSchwartzMultiPathPricer >	lsmPathPricer () const
Protected Member Functions inherited from MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, PseudoRandom >
TimeGrid	timeGrid () const
ext::shared_ptr< path_pricer_type >	pathPricer () const
ext::shared_ptr< path_generator_type >	pathGenerator () const
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 MCLongstaffSchwartzPathEngine< PathMultiAssetOption::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
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 MCLongstaffSchwartzPathEngine< PathMultiAssetOption::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 Size	seed_
const Size	nCalibrationSamples_
ext::shared_ptr< LongstaffSchwartzMultiPathPricer >	pathPricer_
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::MCAmericanPathEngine< 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< LongstaffSchwartzMultiPathPricer > lsmPathPricer ( ) const

protectedvirtual

Implements MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, PseudoRandom >.