QuantLib_MCBasketEngine (3) Linux Manual Page
QuantLib::MCBasketEngine – Pricing engine for basket options using Monte Carlo simulation.
Synopsis
#include <ql/pricingengines/basket/mcbasketengine.hpp>Inherits QuantLib::BasketOption::engine, and McSimulation< MultiVariate, RNG, S >.
Public Types
typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_typetypedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type
typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type
Public Member Functions
MCBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)void calculate () const
Protected Member Functions
TimeGrid timeGrid () constboost::shared_ptr< path_generator_type > pathGenerator () const
boost::shared_ptr< path_pricer_type > pathPricer () const
Protected Attributes
boost::shared_ptr< StochasticProcessArray > processes_Size maxTimeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCBasketEngine< RNG, S >
Pricing engine for basket options using Monte Carlo simulation. Tests
- the correctness of the returned value is tested by reproducing results available in literature.