QuantLib 0.3.7
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Reference manual
MCBasketEngine Class Template Reference
[Basket option engines]
#include <ql/PricingEngines/Basket/mcbasketengine.hpp>
Inheritance diagram for MCBasketEngine:
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCBasketEngine< RNG, S >
MC pricing engine for European baskets.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.
Public Types | |
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typedef McSimulation< MultiAsset< RNG >, S >::path_generator_type | path_generator_type |
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typedef McSimulation< MultiAsset< RNG >, S >::path_pricer_type | path_pricer_type |
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typedef McSimulation< MultiAsset< RNG >, S >::stats_type | stats_type |
Public Member Functions | |
| MCBasketEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< Size >(), Real requiredTolerance=Null< Real >(), Size maxSamples=Null< Size >(), bool brownianBridge=false, BigNatural seed=0) | |
| void | calculate () const |
Protected Member Functions | |
| boost::shared_ptr< path_generator_type > | pathGenerator () const |
| TimeGrid | timeGrid () const |
| boost::shared_ptr< path_pricer_type > | pathPricer () const |
Protected Attributes | |
| Size | maxTimeStepsPerYear_ |
| Size | requiredSamples_ |
| Size | maxSamples_ |
| Real | requiredTolerance_ |
| bool | brownianBridge_ |
| BigNatural | seed_ |
