American Monte Carlo engine. More...
#include <ql/pricingengines/vanilla/mcamericanengine.hpp>
Public Member Functions | |
MCAmericanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >(), const boost::optional< bool > &antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >()) | |
void | calculate () const |
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MCLongstaffSchwartzEngine (const ext::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >()) | |
void | calculate () const |
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result_type | value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const |
add samples until the required absolute tolerance is reached | |
result_type | valueWithSamples (Size samples) const |
simulate a fixed number of samples | |
result_type | errorEstimate () const |
error estimated using the samples simulated so far | |
const stats_type & | sampleAccumulator () const |
access to the sample accumulator for richer statistics | |
void | calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const |
basic calculate method provided to inherited pricing engines | |
Protected Member Functions | |
ext::shared_ptr< LongstaffSchwartzPathPricer< Path > > | lsmPathPricer () const |
Real | controlVariateValue () const |
ext::shared_ptr< PricingEngine > | controlPricingEngine () const |
ext::shared_ptr< PathPricer< Path > > | controlPathPricer () const |
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TimeGrid | timeGrid () const |
ext::shared_ptr< path_pricer_type > | pathPricer () const |
ext::shared_ptr< path_generator_type > | pathGenerator () const |
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McSimulation (bool antitheticVariate, bool controlVariate) | |
virtual ext::shared_ptr< path_generator_type > | controlPathGenerator () const |
Additional Inherited Members | |
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typedef SingleVariate< PseudoRandom >::path_type | path_type |
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::stats_type | stats_type |
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::path_pricer_type | path_pricer_type |
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::path_generator_type | path_generator_type |
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::path_generator_type | path_generator_type_calibration |
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typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::path_generator_type | path_generator_type |
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::path_pricer_type | path_pricer_type |
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::stats_type | stats_type |
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::result_type | result_type |
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static Real | maxError (const Sequence &sequence) |
static Real | maxError (Real error) |
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ext::shared_ptr< StochasticProcess > | process_ |
const Size | timeSteps_ |
const Size | timeStepsPerYear_ |
const bool | brownianBridge_ |
const Size | requiredSamples_ |
const Real | requiredTolerance_ |
const Size | maxSamples_ |
const BigNatural | seed_ |
const Size | nCalibrationSamples_ |
const bool | brownianBridgeCalibration_ |
const bool | antitheticVariateCalibration_ |
const BigNatural | seedCalibration_ |
ext::shared_ptr< LongstaffSchwartzPathPricer< path_type > > | pathPricer_ |
ext::shared_ptr< MonteCarloModel< SingleVariate, PseudoRandom, Statistics > > | mcModelCalibration_ |
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ext::shared_ptr< MonteCarloModel< SingleVariate, PseudoRandom, Statistics > > | mcModel_ |
bool | antitheticVariate_ |
bool | controlVariate_ |
American Monte Carlo engine.
References: