|
void | calculate () const |
|
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
|
|
|
| MCVanillaEngine (const ext::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) |
|
TimeGrid | timeGrid () const |
|
ext::shared_ptr< path_generator_type > | pathGenerator () const |
|
result_type | controlVariateValue () const |
|
| McSimulation (bool antitheticVariate, bool controlVariate) |
|
virtual ext::shared_ptr< path_pricer_type > | pathPricer () const=0 |
|
virtual ext::shared_ptr< path_pricer_type > | controlPathPricer () const |
|
virtual ext::shared_ptr< path_generator_type > | controlPathGenerator () const |
|
virtual ext::shared_ptr< PricingEngine > | controlPricingEngine () const |
|
template<template< class > class MC, class RNG, class S = Statistics, class Inst = VanillaOption>
class QuantLib::MCVanillaEngine< MC, RNG, S, Inst >
Pricing engine for vanilla options using Monte Carlo simulation.