MCEverestEngine< RNG, S > Class Template Reference

#include <mceverestengine.hpp>

Inheritance diagram for MCEverestEngine< RNG, S >:

Collaboration diagram for MCEverestEngine< RNG, S >:

Public Types
typedef McSimulation< MultiVariate, RNG, S >::path_generator_type	path_generator_type
typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type	path_pricer_type
typedef McSimulation< MultiVariate, RNG, S >::stats_type	stats_type
Public Types inherited from Observer
typedef set_type::iterator	iterator
Public Types inherited from McSimulation< MC, RNG, S >
typedef MonteCarloModel< MC, RNG, S >::path_generator_type	path_generator_type
typedef MonteCarloModel< MC, RNG, S >::path_pricer_type	path_pricer_type
typedef MonteCarloModel< MC, RNG, S >::stats_type	stats_type
typedef MonteCarloModel< MC, RNG, S >::result_type	result_type

Public Member Functions
	MCEverestEngine (ext::shared_ptr< StochasticProcessArray >, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void	calculate () const override
Public Member Functions inherited from GenericEngine< EverestOption::arguments, EverestOption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from McSimulation< MC, RNG, S >
virtual	~McSimulation ()=default
result_type	value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
	add samples until the required absolute tolerance is reached More...
result_type	valueWithSamples (Size samples) const
	simulate a fixed number of samples More...
result_type	errorEstimate () const
	error estimated using the samples simulated so far More...
const stats_type &	sampleAccumulator () const
	access to the sample accumulator for richer statistics More...
void	calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
	basic calculate method provided to inherited pricing engines More...

Private Member Functions
DiscountFactor	endDiscount () const
TimeGrid	timeGrid () const override
ext::shared_ptr< path_generator_type >	pathGenerator () const override
ext::shared_ptr< path_pricer_type >	pathPricer () const override

Private Attributes
ext::shared_ptr< StochasticProcessArray >	processes_
Size	timeSteps_
Size	timeStepsPerYear_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	brownianBridge_
BigNatural	seed_

Additional Inherited Members
Protected Member Functions inherited from McSimulation< MC, RNG, S >
	McSimulation (bool antitheticVariate, bool controlVariate)
virtual ext::shared_ptr< path_pricer_type >	pathPricer () const =0
virtual ext::shared_ptr< path_generator_type >	pathGenerator () const =0
virtual TimeGrid	timeGrid () 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
virtual result_type	controlVariateValue () const
Static Protected Member Functions inherited from McSimulation< MC, RNG, S >
template<class Sequence >
static Real	maxError (const Sequence &sequence)
static Real	maxError (Real error)
Protected Attributes inherited from GenericEngine< EverestOption::arguments, EverestOption::results >
EverestOption::arguments	arguments_
EverestOption::results	results_
Protected Attributes inherited from McSimulation< MC, RNG, S >
ext::shared_ptr< MonteCarloModel< MC, RNG, S > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

Detailed Description

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

Definition at line 37 of file mceverestengine.hpp.

Member Typedef Documentation

path_generator_type

typedef McSimulation<MultiVariate,RNG,S>::path_generator_type path_generator_type

Definition at line 41 of file mceverestengine.hpp.

path_pricer_type

typedef McSimulation<MultiVariate,RNG,S>::path_pricer_type path_pricer_type

Definition at line 43 of file mceverestengine.hpp.

stats_type

typedef McSimulation<MultiVariate,RNG,S>::stats_type stats_type

Definition at line 45 of file mceverestengine.hpp.

Constructor & Destructor Documentation

MCEverestEngine()

MCEverestEngine	(	ext::shared_ptr< StochasticProcessArray >	processes,
		Size	timeSteps,
		Size	timeStepsPerYear,
		bool	brownianBridge,
		bool	antitheticVariate,
		Size	requiredSamples,
		Real	requiredTolerance,
		Size	maxSamples,
		BigNatural	seed
	)

Definition at line 143 of file mceverestengine.hpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 55 of file mceverestengine.hpp.

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endDiscount()

DiscountFactor endDiscount

private

Definition at line 187 of file mceverestengine.hpp.

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timeGrid()

TimeGrid timeGrid

overrideprivatevirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 173 of file mceverestengine.hpp.

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pathGenerator()

ext::shared_ptr< path_generator_type > pathGenerator ( ) const

overrideprivatevirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 76 of file mceverestengine.hpp.

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pathPricer()

ext::shared_ptr< typename MCEverestEngine< RNG, S >::path_pricer_type > pathPricer

overrideprivatevirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 199 of file mceverestengine.hpp.

Member Data Documentation

processes_

ext::shared_ptr<StochasticProcessArray> processes_

private

Definition at line 91 of file mceverestengine.hpp.

timeSteps_

Size timeSteps_

private

Definition at line 92 of file mceverestengine.hpp.

timeStepsPerYear_

Size timeStepsPerYear_

private

Definition at line 92 of file mceverestengine.hpp.

requiredSamples_

Size requiredSamples_

private

Definition at line 93 of file mceverestengine.hpp.

maxSamples_

Size maxSamples_

private

Definition at line 94 of file mceverestengine.hpp.

requiredTolerance_

Real requiredTolerance_

private

Definition at line 95 of file mceverestengine.hpp.

brownianBridge_

bool brownianBridge_

private

Definition at line 96 of file mceverestengine.hpp.

seed_

BigNatural seed_

private

Definition at line 97 of file mceverestengine.hpp.