MCBasketEngine Class Template Reference
[Basket option engines]

#include <ql/PricingEngines/Basket/mcbasketengine.hpp>

Inheritance diagram for MCBasketEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

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

MC pricing engine for European baskets.

Tests:
the correctness of the returned value is tested by reproducing results available in literature.


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

Protected Attributes

Size maxTimeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_


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