valueWithSamples (3) - Linux Manuals

valueWithSamples: base class for Monte Carlo pricers


QuantLib::McPricer - base class for Monte Carlo pricers


#include <ql/legacy/pricers/mcpricer.hpp>

Public Member Functions

Real value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
add samples until the required tolerance is reached
Real valueWithSamples (Size samples, Size minSamples=1023) const
simulate a fixed number of samples
Real errorEstimate () const
estimated error of the samples simulated so far
const S & sampleAccumulator (void) const
access to the sample accumulator for more statistics

Protected Attributes

boost::shared_ptr< MonteCarloModel< MC, RNG, S > > mcModel_

Detailed Description

template<template< class > class MC, class RNG, class S = Statistics> class QuantLib::McPricer< MC, RNG, S >

base class for Monte Carlo pricers

Eventually this class might be linked to the general tree of pricers, in order to have tools like impliedVolatility available. Also, it could, eventually, offer greeks methods. Deriving a class from McPricer gives an easy way to write a Monte Carlo Pricer. See McEuropean as example of one factor pricer, Basket as example of multi factor pricer.


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