QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
MCVanillaEngine Class Template Reference
#include <ql/PricingEngines/Vanilla/mcvanillaengine.hpp>
Inheritance diagram for MCVanillaEngine:
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 |
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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_ |
