MCVanillaEngine Class Template Reference

#include <ql/PricingEngines/Vanilla/mcvanillaengine.hpp>

Inheritance diagram for MCVanillaEngine:

Inheritance graph
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List of all members.

Detailed Description

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

Pricing engine for vanilla option using Monte Carlo simulation.


Public Member Functions

void calculate () const

Protected Types

typedef McSimulation< SingleAsset<
RNG >, S >::path_generator_type 
path_generator_type
typedef McSimulation< SingleAsset<
RNG >, S >::path_pricer_type 
path_pricer_type
typedef McSimulation< 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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