MonteCarloModel Class Template Reference
[Monte Carlo framework]

#include <ql/MonteCarlo/montecarlomodel.hpp>

List of all members.


Detailed Description

template<class mc_traits, class stats_traits = Statistics>
class QuantLib::MonteCarloModel< mc_traits, stats_traits >

General purpose Monte Carlo model for path samples.

The template arguments of this class correspond to available policies for the particular model to be instantiated---i.e., whether it is single- or multi-asset, or whether it should use pseudo-random or low-discrepancy numbers for path generation. Such decisions are grouped in trait classes so as to be orthogonal---see mctraits.hpp for examples.

The constructor accepts two safe references, i.e. two smart pointers, one to a path generator and the other to a path pricer. In case of control variate technique the user should provide the additional control option, namely the option path pricer and the option value.


Public Types

typedef mc_traits::rsg_type rsg_type
typedef mc_traits::path_generator_type path_generator_type
typedef mc_traits::path_pricer_type path_pricer_type
typedef path_generator_type::sample_type sample_type
typedef path_pricer_type::result_type result_type
typedef stats_traits stats_type

Public Member Functions

 MonteCarloModel (const boost::shared_ptr< path_generator_type > &pathGenerator, const boost::shared_ptr< path_pricer_type > &pathPricer, const stats_type &sampleAccumulator, bool antitheticVariate, const boost::shared_ptr< path_pricer_type > &cvPathPricer=boost::shared_ptr< path_pricer_type >(), result_type cvOptionValue=result_type())
void addSamples (Size samples)
const stats_type & sampleAccumulator (void) const


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