MCHullWhiteCapFloorEngine (3) - Linux Man Pages

MCHullWhiteCapFloorEngine: Monte Carlo Hull-White engine for cap/floors.

NAME

QuantLib::MCHullWhiteCapFloorEngine - Monte Carlo Hull-White engine for cap/floors.

SYNOPSIS


#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

Inherits QuantLib::CapFloor::engine, and McSimulation< SingleVariate, RNG, S >.

Public Types


typedef simulation::path_generator_type path_generator_type

typedef simulation::path_pricer_type path_pricer_type

typedef simulation::stats_type stats_type

Public Member Functions


MCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

void calculate () const

Protected Member Functions


boost::shared_ptr< path_pricer_type > pathPricer () const

TimeGrid timeGrid () const

boost::shared_ptr< path_generator_type > pathGenerator () const

Detailed Description

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

Monte Carlo Hull-White engine for cap/floors.

Author

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