McSimulation Class Template Reference

#include <mcengine.hpp>

List of all members.


Detailed Description

template<class MC, class S = Math::Statistics>
class QuantLib::PricingEngines::McSimulation< MC, S >

base class for Monte Carlo engines

Eventually this class might offer greeks methods. Deriving a class from McEngine gives an easy way to write a Monte Carlo engine. See McVanillaEngine as example of one factor engine, McBasketEngine as example of multi factor engine.


Public Types

typedef MonteCarlo::MonteCarloModel<
MC, S >::path_generator_type 
path_generator_type
typedef MonteCarlo::MonteCarloModel<
MC, S >::path_pricer_type 
path_pricer_type
typedef MonteCarlo::MonteCarloModel<
MC, S >::stats_type 
stats_type

Public Member Functions

double value (double tolerance, Size maxSample=QL_MAX_INT) const
 add samples until the required tolerance is reached

double valueWithSamples (Size samples) const
 simulate a fixed number of samples

double errorEstimate () const
 error estimated using the samples simulated so far

const stats_type & sampleAccumulator (void) const
 access to the sample accumulator for richer statistics


Protected Member Functions

 McSimulation (bool antitheticVariate, bool controlVariate)
virtual Handle< path_pricer_type > pathPricer () const=0
virtual Handle< path_pricer_type > controlPathPricer () const
virtual Handle< PricingEnginecontrolPricingEngine () const
virtual Handle< path_generator_type > pathGenerator () const=0
virtual TimeGrid timeGrid () const=0

Protected Attributes

Handle< MonteCarlo::MonteCarloModel<
MC, S > > 
mcModel_
bool antitheticVariate_
bool controlVariate_

Static Protected Attributes

const Size minSample_ = 100


The documentation for this class was generated from the following file:

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