QuantLib_MCEuropeanEngine (3) - Linux Man Pages

QuantLib_MCEuropeanEngine: European option pricing engine using Monte Carlo simulation.

NAME

QuantLib::MCEuropeanEngine - European option pricing engine using Monte Carlo simulation.

SYNOPSIS


#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>

Inherits MCVanillaEngine< SingleVariate, RNG, S >.

Public Types


typedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type

typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type

typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type

Public Member Functions


MCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Protected Member Functions


boost::shared_ptr< path_pricer_type > pathPricer () const

Detailed Description

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

European option pricing engine using Monte Carlo simulation.

Tests

the correctness of the returned value is tested by checking it against analytic results.

Author

Generated automatically by Doxygen for QuantLib from the source code.