QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | List of all members
MCAmericanBasketEngine< RNG > Class Template Reference

least-square Monte Carlo engine More...

#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

+ Inheritance diagram for MCAmericanBasketEngine< RNG >:

Public Member Functions

 MCAmericanBasketEngine (const ext::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), Size polynomOrder=2, LsmBasisSystem::PolynomType polynomType=LsmBasisSystem::Monomial)
 
- Public Member Functions inherited from MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
 MCLongstaffSchwartzEngine (const ext::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >())
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from PricingEngine
virtual arguments * getArguments () const =0
 
virtual const results * getResults () const =0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
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_typesampleAccumulator () 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

ext::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer () const
 
- Protected Member Functions inherited from MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
virtual ext::shared_ptr< LongstaffSchwartzPathPricer< path_type > > lsmPathPricer () const=0
 
TimeGrid timeGrid () const
 
ext::shared_ptr< path_pricer_type > pathPricer () const
 
ext::shared_ptr< path_generator_type > pathGenerator () const
 
- Protected Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual ext::shared_ptr< path_pricer_typecontrolPathPricer () const
 
virtual ext::shared_ptr< path_generator_typecontrolPathGenerator () const
 
virtual ext::shared_ptr< PricingEnginecontrolPricingEngine () const
 
virtual result_type controlVariateValue () const
 

Additional Inherited Members

- Public Types inherited from MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
typedef MultiVariate< PseudoRandom >::path_type path_type
 
typedef McSimulation< MultiVariate, PseudoRandom, Statistics >::stats_type stats_type
 
typedef McSimulation< MultiVariate, PseudoRandom, Statistics >::path_pricer_type path_pricer_type
 
typedef McSimulation< MultiVariate, PseudoRandom, Statistics >::path_generator_type path_generator_type
 
typedef McSimulation< MultiVariate, PseudoRandom, Statistics >::path_generator_type path_generator_type_calibration
 
- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Public Types inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
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
 
- Static Protected Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
static Real maxError (const Sequence &sequence)
 
static Real maxError (Real error)
 
- Protected Attributes inherited from MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >
ext::shared_ptr< StochasticProcessprocess_
 
const Size timeSteps_
 
const Size timeStepsPerYear_
 
const bool brownianBridge_
 
const Size requiredSamples_
 
const Real requiredTolerance_
 
const Size maxSamples_
 
const BigNatural seed_
 
const Size nCalibrationSamples_
 
const bool brownianBridgeCalibration_
 
const bool antitheticVariateCalibration_
 
const BigNatural seedCalibration_
 
ext::shared_ptr< LongstaffSchwartzPathPricer< path_type > > pathPricer_
 
ext::shared_ptr< MonteCarloModel< MultiVariate, PseudoRandom, Statistics > > mcModelCalibration_
 
- Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments arguments_
 
BasketOption::results results_
 
- Protected Attributes inherited from McSimulation< MultiVariate, PseudoRandom, Statistics >
ext::shared_ptr< MonteCarloModel< MultiVariate, PseudoRandom, Statistics > > mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Detailed Description

template<class RNG = PseudoRandom>
class QuantLib::MCAmericanBasketEngine< RNG >

least-square Monte Carlo engine

Warning:
This method is intrinsically weak for out-of-the-money options.