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MCVanillaEngine Class Template Reference#include <mcengine.hpp>
Inheritance diagram for MCVanillaEngine: ![]() Detailed Descriptiontemplate<class RNG = MonteCarlo::PseudoRandom, class S = Math::Statistics>
Base class for Monte Carlo vanilla option engines.
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Public Member Functions | |
void | calculate () const |
Protected Types | |
typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::path_generator_type | path_generator_type |
typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::path_pricer_type | path_pricer_type |
typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::stats_type | stats_type |
Protected Member Functions | |
MCVanillaEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< int >(), double requiredTolerance=Null< double >(), Size maxSamples=Null< int >(), long seed=0) | |
Handle< path_generator_type > | pathGenerator () const |
Protected Attributes | |
Size | maxTimeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
double | requiredTolerance_ |
long | seed_ |
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