- QuantLib
- MCVanillaEngine
Pricing engine for vanilla options using Monte Carlo simulation. More...
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>

Public Member Functions | |
| void | calculate () const |
Protected Types | |
|
typedef McSimulation< MC, RNG, S >::path_generator_type | path_generator_type |
|
typedef McSimulation< MC, RNG, S >::path_pricer_type | path_pricer_type |
|
typedef McSimulation< MC, RNG, S >::stats_type | stats_type |
|
typedef McSimulation< MC, RNG, S >::result_type | result_type |
Protected Member Functions | |
| MCVanillaEngine (const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| TimeGrid | timeGrid () const |
|
boost::shared_ptr < path_generator_type > | pathGenerator () const |
| result_type | controlVariateValue () const |
Protected Attributes | |
|
boost::shared_ptr < StochasticProcess > | process_ |
| Size | timeSteps_ |
| Size | timeStepsPerYear_ |
| Size | requiredSamples_ |
| Size | maxSamples_ |
| Real | requiredTolerance_ |
| bool | brownianBridge_ |
| BigNatural | seed_ |
Pricing engine for vanilla options using Monte Carlo simulation.