McPricer Class Template Reference

#include <ql/Pricers/mcpricer.hpp>

List of all members.


Detailed Description

template<class MC, class S = Statistics>
class QuantLib::McPricer< MC, S >

base class for Monte Carlo pricers

Eventually this class might be linked to the general tree of pricers, in order to have tools like impliedVolatility available. Also, it could, eventually, offer greeks methods. Deriving a class from McPricer gives an easy way to write a Monte Carlo Pricer. See McEuropean as example of one factor pricer, Basket as example of multi factor pricer.


Public Member Functions

Real value (Real tolerance, Size maxSample=QL_MAX_INTEGER) const
 add samples until the required tolerance is reached

Real valueWithSamples (Size samples) const
 simulate a fixed number of samples

Real errorEstimate () const
 error Estimated of the samples simulated so far

const S & sampleAccumulator (void) const
 access to the sample accumulator for more statistics


Protected Attributes

boost::shared_ptr< MonteCarloModel<
MC, S > > 
mcModel_

Static Protected Attributes

const Size minSample_ = 1023


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