QuantLib_MCPerformanceEngine (3) Linux Manual Page

QuantLib::MCPerformanceEngine – Pricing engine for performance options using Monte Carlo simulation.

Synopsis

#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

Inherits QuantLib::CliquetOption::engine, and McSimulation< SingleVariate, RNG, S >.

Public Types

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

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

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

Public Member Functions

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

void calculate () const

Protected Member Functions

TimeGrid timeGrid () const

boost::shared_ptr< path_generator_type > pathGenerator () const

boost::shared_ptr< path_pricer_type > pathPricer () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_

Size requiredSamples_

Size maxSamples_

Real requiredTolerance_

bool brownianBridge_

BigNatural seed_

Detailed Description

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

Pricing engine for performance options using Monte Carlo simulation.

Author

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