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McSimulation Class Template Reference#include <ql/PricingEngines/mcsimulation.hpp>
Detailed Descriptiontemplate<class MC, class S = Statistics>
base class for Monte Carlo engines
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Public Types | |
typedef MonteCarloModel< MC, S >::path_generator_type | path_generator_type |
typedef MonteCarloModel< MC, S >::path_pricer_type | path_pricer_type |
typedef MonteCarloModel< MC, S >::stats_type | stats_type |
Public Member Functions | |
Real | value (Real tolerance, Size maxSample=QL_MAX_INTEGER) const |
add samples until the required absolute tolerance is reached | |
Real | valueWithSamples (Size samples) const |
simulate a fixed number of samples | |
Real | errorEstimate () const |
error estimated using the samples simulated so far | |
const stats_type & | sampleAccumulator (void) 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 | |
McSimulation (bool antitheticVariate, bool controlVariate) | |
virtual boost::shared_ptr< path_pricer_type > | pathPricer () const =0 |
virtual boost::shared_ptr< path_generator_type > | pathGenerator () const =0 |
virtual TimeGrid | timeGrid () const =0 |
virtual boost::shared_ptr< path_pricer_type > | controlPathPricer () const |
virtual boost::shared_ptr< PricingEngine > | controlPricingEngine () const |
virtual Real | controlVariateValue () const |
Protected Attributes | |
boost::shared_ptr< MonteCarloModel< MC, S > > | mcModel_ |
bool | antitheticVariate_ |
bool | controlVariate_ |
Static Protected Attributes | |
static const Size | minSample_ = 1023 |
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basic calculate method provided to inherited pricing engines Initialize the one-factor Monte Carlo |
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