MCVanillaEngine Class Template Reference
[Vanilla option engines]

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

Inheritance diagram for MCVanillaEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

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

Pricing engine for vanilla option using Monte Carlo simulation.


Public Member Functions

void calculate () const

Protected Types

typedef McSimulation< SingleAsset<
RNG >, S >::path_generator_type 
path_generator_type
typedef McSimulation< SingleAsset<
RNG >, S >::path_pricer_type 
path_pricer_type
typedef McSimulation< SingleAsset<
RNG >, S >::stats_type 
stats_type

Protected Member Functions

 MCVanillaEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< Size >(), Real requiredTolerance=Null< Real >(), Size maxSamples=Null< Size >(), BigNatural seed=0)
boost::shared_ptr< path_generator_typepathGenerator () const

Protected Attributes

Size maxTimeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
BigNatural seed_


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