QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

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::GaussianRandomSequenceGenerator >  GaussianPathGenerator 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::Matrix >  getCovariance (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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