QuantLib_MultiVariate (3) Linux Manual Page

QuantLib::MultiVariate – default Monte Carlo traits for multi-variate models

Synopsis

#include <ql/methods/montecarlo/mctraits.hpp>

Public Types

enum { allowsErrorEstimate = RNG::allowsErrorEstimate }

typedef RNG rng_traits

typedef MultiPath path_type

typedef PathPricer< path_type > path_pricer_type

typedef RNG::rsg_type rsg_type

typedef MultiPathGenerator< rsg_type > path_generator_type

Detailed Description

template<class RNG = PseudoRandom> struct QuantLib::MultiVariate< RNG >

default Monte Carlo traits for multi-variate models

Author

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