Monte Carlo framework -


class BrownianBridge
Builds Wiener process paths using Gaussian variates.
class EarlyExercisePathPricer< PathType, TimeType, ValueType >
base class for early exercise path pricers
class LongstaffSchwartzPathPricer< PathType >
Longstaff-Schwarz path pricer for early exercise options.
class MonteCarloModel< MC, RNG, S >
General-purpose Monte Carlo model for path samples.
class MultiPath
Correlated multiple asset paths.
class MultiPathGenerator< GSG >
Generates a multipath from a random number generator.
class Path
single-factor random walk
class PathGenerator< GSG >
Generates random paths using a sequence generator.
class PathPricer< PathType, ValueType >
base class for path pricers
struct Sample< T >
weighted sample

Detailed Description

This framework (corresponding to the ql/MonteCarlo directory) contains basic building blocks for Monte Carlo simulations.


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