MCVanillaEngine Class Template Reference
[Vanilla option engines]

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

Inheritance diagram for MCVanillaEngine:

List of all members.


Detailed Description

template<template< class > class MC, class RNG, class S = Statistics, class Inst = VanillaOption>
class QuantLib::MCVanillaEngine< MC, RNG, S, Inst >

Pricing engine for vanilla options using Monte Carlo simulation.


Public Member Functions

void calculate () const

Protected Types

typedef McSimulation< MC, RNG,
S >::path_generator_type 
path_generator_type
typedef McSimulation< MC, RNG,
S >::path_pricer_type 
path_pricer_type
typedef McSimulation< MC, RNG,
S >::stats_type 
stats_type
typedef McSimulation< MC, RNG,
S >::result_type 
result_type

Protected Member Functions

 MCVanillaEngine (const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
TimeGrid timeGrid () const
boost::shared_ptr
< path_generator_type > 
pathGenerator () const
result_type controlVariateValue () const

Protected Attributes

boost::shared_ptr
< StochasticProcess
process_
Size timeSteps_
Size timeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_