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MCBasketEngine Class Template Reference |
Public Types | |
typedef McSimulation< MultiAsset< RNG >, S >::path_generator_type | path_generator_type |
typedef McSimulation< MultiAsset< RNG >, S >::path_pricer_type | path_pricer_type |
typedef McSimulation< MultiAsset< RNG >, S >::stats_type | stats_type |
Public Member Functions | |
MCBasketEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< Size >(), Real requiredTolerance=Null< Real >(), Size maxSamples=Null< Size >(), bool brownianBridge=false, BigNatural seed=0) | |
void | calculate () const |
Protected Member Functions | |
boost::shared_ptr< path_generator_type > | pathGenerator () const |
TimeGrid | timeGrid () const |
boost::shared_ptr< path_pricer_type > | pathPricer () const |
Protected Attributes | |
Size | maxTimeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |
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