QuantLib_MCAmericanEngine (3) Linux Manual Page
QuantLib::MCAmericanEngine – American Monte Carlo engine.
Synopsis
#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 () constReal 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.References:
Tests
- the correctness of the returned value is tested by reproducing results available in web/literature