QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
McSimulation Class Template Reference
#include <ql/PricingEngines/mcsimulation.hpp>
Detailed Description
template<class MC, class S = Statistics>
class QuantLib::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 an example of one factor engine.
Public Types | |
|
typedef MonteCarloModel< MC, S >::path_generator_type | path_generator_type |
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typedef MonteCarloModel< MC, S >::path_pricer_type | path_pricer_type |
|
typedef 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< PricingEngine > | controlPricingEngine () const |
| virtual Handle< path_generator_type > | pathGenerator () const=0 |
| virtual TimeGrid | timeGrid () const=0 |
Protected Attributes | |
|
Handle< MonteCarloModel< MC, S > > | mcModel_ |
| bool | antitheticVariate_ |
| bool | controlVariate_ |
Static Protected Attributes | |
| const Size | minSample_ = 1023 |
