MCEuropeanEngine Class Template Reference
[Vanilla option engines]

#include <ql/PricingEngines/Vanilla/mceuropeanengine.hpp>

Inheritance diagram for MCEuropeanEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCEuropeanEngine< RNG, S >

European option pricing engine using Monte Carlo simulation.

Tests:
the correctness of the returned value is tested by checking it against analytic results.


Public Types

typedef MCVanillaEngine< RNG,
S >::path_generator_type 
path_generator_type
typedef MCVanillaEngine< RNG,
S >::path_pricer_type 
path_pricer_type
typedef MCVanillaEngine< RNG,
S >::stats_type 
stats_type

Public Member Functions

 MCEuropeanEngine (Size maxTimeStepPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< Size >(), Real requiredTolerance=Null< Real >(), Size maxSamples=Null< Size >(), BigNatural seed=0)

Protected Member Functions

TimeGrid timeGrid () const
boost::shared_ptr< path_pricer_typepathPricer () const


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