QuantLib: MCVanillaEngine< MC, RNG, S, Inst

Pricing engine for vanilla options using Monte Carlo simulation. More...

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

Inheritance diagram for MCVanillaEngine< MC, RNG, S, Inst >:

Public Member Functions
void	calculate () const override
Public Member Functions inherited from McSimulation< MC, RNG, 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 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 (ext::shared_ptr< StochasticProcess >, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
TimeGrid	timeGrid () const override
ext::shared_ptr< path_generator_type >	pathGenerator () const override
result_type	controlVariateValue () const override
Protected Member Functions inherited from McSimulation< MC, RNG, Statistics >
	McSimulation (bool antitheticVariate, bool controlVariate)
virtual ext::shared_ptr< path_pricer_type >	pathPricer () const=0
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

Protected Attributes
ext::shared_ptr< StochasticProcess >	process_
Size	timeSteps_
Size	timeStepsPerYear_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	brownianBridge_
BigNatural	seed_
Protected Attributes inherited from McSimulation< MC, RNG, Statistics >
ext::shared_ptr< MonteCarloModel< MC, RNG, Statistics > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

Additional Inherited Members
Public Types inherited from McSimulation< MC, RNG, Statistics >
typedef MonteCarloModel< MC, RNG, Statistics >::path_generator_type	path_generator_type
typedef MonteCarloModel< MC, RNG, Statistics >::path_pricer_type	path_pricer_type
typedef MonteCarloModel< MC, RNG, Statistics >::stats_type	stats_type
typedef MonteCarloModel< MC, RNG, Statistics >::result_type	result_type
Static Protected Member Functions inherited from McSimulation< MC, RNG, Statistics >
static Real	maxError (const Sequence &sequence)

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.

template<template< class > class MC, class RNG, class S, class Inst>

TimeGrid timeGrid ( ) const

overrideprotectedvirtual

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

ext::shared_ptr< path_generator_type > pathGenerator ( ) const

overrideprotectedvirtual

template<template< class > class MC, class RNG, class S, class Inst>

MCVanillaEngine< MC, RNG, S, Inst >::result_type controlVariateValue ( ) const

overrideprotectedvirtual