QuantLib 0.3.11
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Reference manual
MCVanillaEngine Class Template Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/mcvanillaengine.hpp>
Inheritance diagram for MCVanillaEngine:
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCVanillaEngine< RNG, S >
Pricing engine for vanilla options using Monte Carlo simulation.
Public Member Functions | |
| void | calculate () const |
Protected Types | |
|
typedef McSimulation< SingleVariate< RNG >, S >::path_generator_type | path_generator_type |
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typedef McSimulation< SingleVariate< RNG >, S >::path_pricer_type | path_pricer_type |
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typedef McSimulation< SingleVariate< RNG >, S >::stats_type | stats_type |
Protected Member Functions | |
| MCVanillaEngine (Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| TimeGrid | timeGrid () const |
| boost::shared_ptr< path_generator_type > | pathGenerator () const |
| Real | controlVariateValue () const |
Protected Attributes | |
| Size | timeSteps_ |
| Size | timeStepsPerYear_ |
| Size | requiredSamples_ |
| Size | maxSamples_ |
| Real | requiredTolerance_ |
| bool | brownianBridge_ |
| BigNatural | seed_ |
