QuantLib::MonteCarlo Namespace Reference


Detailed Description

Monte Carlo framework.

See sect. The Monte Carlo framework


Compounds

class  ArithmeticAPOPathPricer_old
 path pricer for arithmetic average price option More...

class  ArithmeticASOPathPricer_old
 path pricer for arithmetic average strike Asian options More...

class  BasketPathPricer_old
 multipath pricer for European-type basket option More...

class  BrownianBridge
 Builds Wiener process paths using Gaussian variates. More...

class  CliquetOptionPathPricer
 path pricer for cliquet options More...

class  CliquetOptionPathPricer_old
 path pricer for cliquet options More...

class  EuropeanPathPricer
 path pricer for European options More...

class  EuropeanPathPricer_old
 path pricer for European options More...

class  EverestPathPricer_old
 path pricer for European-type Everest option More...

class  GeometricAPOPathPricer_old
 path pricer for geometric average price option More...

class  GeometricASOPathPricer_old
 path pricer for geometric average strike option More...

class  HimalayaPathPricer_old
 multipath pricer for European-type Himalaya option More...

class  MaxBasketPathPricer_old
 multipath pricer for European-type basket option More...

class  MonteCarloModel
 General purpose Monte Carlo model for path samples. More...

class  MultiPath
 single random walk More...

class  MultiPathGenerator
 Generates a multipath from a random number generator. More...

class  MultiPathGenerator_old
 Generates a multipath from a random number generator. More...

class  PagodaPathPricer_old
 multipath pricer for pagoda options More...

class  Path
 single factor random walk More...

class  PathGenerator
 Generates random paths using a sequence generator. More...

class  PathGenerator_old
 Generates random paths from a random number generator. More...

class  PathPricer
 base class for path pricers More...

class  PathPricer_old
 base class for path pricers More...

class  PerformanceOptionPathPricer_old
 path pricer for performance options More...

struct  Sample
 weighted sample More...


Typedefs

typedef GenericPseudoRandom<
RandomNumbers::MersenneTwisterUniformRng,
Math::InverseCumulativeNormal
PseudoRandom
typedef PathGenerator_old<
RandomNumbers::GaussianRandomGenerator
GaussianPathGenerator_old
 default choice for Gaussian path generator.

typedef PathGenerator< RandomNumbers::GaussianRandomSequenceGeneratorGaussianPathGenerator
typedef MultiPathGenerator_old<
RandomNumbers::RandomArrayGenerator<
RandomNumbers::GaussianRandomGenerator > > 
GaussianMultiPathGenerator
 default choice for Gaussian multi-path generator.

typedef MonteCarloModel< SingleAsset_old<
PseudoRandom_old > > 
OneFactorMonteCarloOption_old
 default choice for one-factor Monte Carlo model.

typedef MonteCarloModel< MultiAsset_old<
PseudoRandomSequence_old > > 
MultiFactorMonteCarloOption
 default choice for multi-factor Monte Carlo model.


Functions

template<class DataIterator> Disposable< Math::MatrixgetCovariance (DataIterator volBegin, DataIterator volEnd, const Math::Matrix &corr)


Function Documentation

Disposable<Math::Matrix> getCovariance DataIterator  volBegin,
DataIterator  volEnd,
const Math::Matrix &  corr
 

Combines the correlation matrix and the vector of volatilities to return the covariance matrix. Note that only the symmetric part of the correlation matrix is used. Also it is assumed that the diagonal member of the correlation matrix equals one.


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