Pricing engine for path dependent basket options using. More...
#include <ql/experimental/mcbasket/mcpathbasketengine.hpp>
Public Types | |
typedef McSimulation< MultiVariate, RNG, S >::path_generator_type | path_generator_type |
typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type | path_pricer_type |
typedef McSimulation< MultiVariate, RNG, S >::stats_type | stats_type |
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typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::path_generator_type | path_generator_type |
typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::path_pricer_type | path_pricer_type |
typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::stats_type | stats_type |
typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::result_type | result_type |
Public Member Functions | |
MCPathBasketEngine (const ext::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
void | calculate () const |
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result_type | value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const |
add samples until the required absolute tolerance is reached | |
result_type | valueWithSamples (Size samples) const |
simulate a fixed number of samples | |
result_type | errorEstimate () const |
error estimated using the samples simulated so far | |
const stats_type & | sampleAccumulator () const |
access to the sample accumulator for richer statistics | |
void | calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const |
basic calculate method provided to inherited pricing engines | |
Protected Member Functions | |
TimeGrid | timeGrid () const |
ext::shared_ptr< path_generator_type > | pathGenerator () const |
ext::shared_ptr< path_pricer_type > | pathPricer () const |
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McSimulation (bool antitheticVariate, bool controlVariate) | |
virtual ext::shared_ptr< path_pricer_type > | pathPricer () const=0 |
virtual ext::shared_ptr< path_generator_type > | pathGenerator () const=0 |
virtual TimeGrid | timeGrid () const=0 |
virtual ext::shared_ptr< path_pricer_type > | controlPathPricer () const |
virtual ext::shared_ptr< path_generator_type > | controlPathGenerator () const |
virtual ext::shared_ptr< PricingEngine > | controlPricingEngine () const |
virtual result_type | controlVariateValue () const |
Protected Attributes | |
ext::shared_ptr< StochasticProcessArray > | process_ |
Size | timeSteps_ |
Size | timeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |
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ext::shared_ptr< MonteCarloModel< MultiVariate, PseudoRandom, Statistics > > | mcModel_ |
bool | antitheticVariate_ |
bool | controlVariate_ |
Additional Inherited Members | |
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static Real | maxError (const Sequence &sequence) |
static Real | maxError (Real error) |
Pricing engine for path dependent basket options using.