QuantLib 0.3.6
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Introduction to QuantLib
QuantLib components
Reference manual
MCEuropeanEngine Class Template Reference
#include <ql/PricingEngines/Vanilla/mceuropeanengine.hpp>
Inheritance diagram for MCEuropeanEngine:
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCEuropeanEngine< RNG, S >
European option pricing engine using Monte Carlo simulation.
Public Types | |
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typedef MCVanillaEngine< RNG, S >::path_generator_type | path_generator_type |
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typedef MCVanillaEngine< RNG, S >::path_pricer_type | path_pricer_type |
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typedef MCVanillaEngine< RNG, S >::stats_type | stats_type |
Public Member Functions | |
| MCEuropeanEngine (Size maxTimeStepPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< int >(), double requiredTolerance=Null< double >(), Size maxSamples=Null< int >(), long seed=0) | |
Protected Member Functions | |
| TimeGrid | timeGrid () const |
| Handle< path_pricer_type > | pathPricer () const |
