MCPagodaEngine (3) - Linux Man Pages

MCPagodaEngine: Pricing engine for pagoda options using Monte Carlo simulation.

NAME

QuantLib::MCPagodaEngine - Pricing engine for pagoda options using Monte Carlo simulation.

SYNOPSIS


#include <ql/pricingengines/basket/mcpagodaengine.hpp>

Inherits QuantLib::PagodaOption::engine, and McSimulation< MultiVariate, RNG, S >.

Public Types


typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type

typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type

typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type

Public Member Functions


MCPagodaEngine (const boost::shared_ptr< StochasticProcessArray > &, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

void calculate () const

Detailed Description

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

Pricing engine for pagoda options using Monte Carlo simulation.

Author

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