MCAmericanEngine (3) - Linux Manuals

MCAmericanEngine: American Monte Carlo engine.


QuantLib::MCAmericanEngine - American Monte Carlo engine.


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

Inherits MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >.

Public Member Functions

MCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >())

Protected Member Functions

boost::shared_ptr< LongstaffSchwartzPathPricer< Path > > lsmPathPricer () const

Real controlVariateValue () const

boost::shared_ptr< PricingEngine > controlPricingEngine () const

boost::shared_ptr< PathPricer< Path > > controlPathPricer () const

Detailed Description

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

American Monte Carlo engine.



the correctness of the returned value is tested by reproducing results available in web/literature


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