Monte Carlo Hull-White engine for cap/floors. More...
#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>
Inheritance diagram for MCHullWhiteCapFloorEngine< RNG, S >:
Collaboration diagram for MCHullWhiteCapFloorEngine< RNG, S >:
Public Types | |
| typedef simulation::path_generator_type | path_generator_type |
| typedef simulation::path_pricer_type | path_pricer_type |
| typedef simulation::stats_type | stats_type |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Public Types inherited from McSimulation< MC, RNG, S > | |
| typedef MonteCarloModel< MC, RNG, S >::path_generator_type | path_generator_type |
| typedef MonteCarloModel< MC, RNG, S >::path_pricer_type | path_pricer_type |
| typedef MonteCarloModel< MC, RNG, S >::stats_type | stats_type |
| typedef MonteCarloModel< MC, RNG, S >::result_type | result_type |
Public Member Functions | |
| MCHullWhiteCapFloorEngine (ext::shared_ptr< HullWhite > model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< CapFloor::arguments, CapFloor::results > | |
| PricingEngine::arguments * | getArguments () const override |
| const PricingEngine::results * | getResults () const override |
| void | reset () override |
| void | update () override |
| Public Member Functions inherited from PricingEngine | |
| ~PricingEngine () override=default | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
| virtual void | reset ()=0 |
| virtual void | calculate () const =0 |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~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 | update ()=0 |
| virtual void | deepUpdate () |
| Public Member Functions inherited from McSimulation< MC, RNG, S > | |
| virtual | ~McSimulation ()=default |
| result_type | value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const |
| add samples until the required absolute tolerance is reached More... | |
| result_type | valueWithSamples (Size samples) const |
| simulate a fixed number of samples More... | |
| result_type | errorEstimate () const |
| error estimated using the samples simulated so far More... | |
| const stats_type & | sampleAccumulator () const |
| access to the sample accumulator for richer statistics More... | |
| void | calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const |
| basic calculate method provided to inherited pricing engines More... | |
Protected Member Functions | |
| ext::shared_ptr< path_pricer_type > | pathPricer () const |
| TimeGrid | timeGrid () const |
| ext::shared_ptr< path_generator_type > | pathGenerator () const |
| Protected Member Functions inherited from McSimulation< MC, RNG, S > | |
| 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 |
Private Types | |
| typedef McSimulation< SingleVariate, RNG, S > | simulation |
Private Attributes | |
| ext::shared_ptr< HullWhite > | model_ |
| Size | requiredSamples_ |
| Size | maxSamples_ |
| Real | requiredTolerance_ |
| bool | brownianBridge_ |
| BigNatural | seed_ |
Additional Inherited Members | |
| Static Protected Member Functions inherited from McSimulation< MC, RNG, S > | |
| template<class Sequence > | |
| static Real | maxError (const Sequence &sequence) |
| static Real | maxError (Real error) |
| Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results > | |
| CapFloor::arguments | arguments_ |
| CapFloor::results | results_ |
| Protected Attributes inherited from McSimulation< MC, RNG, S > | |
| ext::shared_ptr< MonteCarloModel< MC, RNG, S > > | mcModel_ |
| bool | antitheticVariate_ |
| bool | controlVariate_ |
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCHullWhiteCapFloorEngine< RNG, S >
class QuantLib::MCHullWhiteCapFloorEngine< RNG, S >
Monte Carlo Hull-White engine for cap/floors.
Definition at line 59 of file mchullwhiteengine.hpp.
Member Typedef Documentation
◆ simulation
|
private |
Definition at line 63 of file mchullwhiteengine.hpp.
◆ path_generator_type
Definition at line 70 of file mchullwhiteengine.hpp.
◆ path_pricer_type
Definition at line 71 of file mchullwhiteengine.hpp.
◆ stats_type
| typedef simulation::stats_type stats_type |
Definition at line 72 of file mchullwhiteengine.hpp.
Constructor & Destructor Documentation
◆ MCHullWhiteCapFloorEngine()
| MCHullWhiteCapFloorEngine | ( | ext::shared_ptr< HullWhite > | model, |
| bool | brownianBridge, | ||
| bool | antitheticVariate, | ||
| Size | requiredSamples, | ||
| Real | requiredTolerance, | ||
| Size | maxSamples, | ||
| BigNatural | seed | ||
| ) |
Member Function Documentation
◆ calculate()
|
overridevirtual |
Implements PricingEngine.
Definition at line 87 of file mchullwhiteengine.hpp.
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◆ pathPricer()
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protectedvirtual |
Implements McSimulation< MC, RNG, S >.
Definition at line 98 of file mchullwhiteengine.hpp.
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◆ timeGrid()
|
protectedvirtual |
Implements McSimulation< MC, RNG, S >.
Definition at line 109 of file mchullwhiteengine.hpp.
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◆ pathGenerator()
|
protectedvirtual |
Implements McSimulation< MC, RNG, S >.
Definition at line 129 of file mchullwhiteengine.hpp.
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Member Data Documentation
◆ model_
|
private |
Definition at line 64 of file mchullwhiteengine.hpp.
◆ requiredSamples_
|
private |
Definition at line 65 of file mchullwhiteengine.hpp.
◆ maxSamples_
|
private |
Definition at line 65 of file mchullwhiteengine.hpp.
◆ requiredTolerance_
|
private |
Definition at line 66 of file mchullwhiteengine.hpp.
◆ brownianBridge_
|
private |
Definition at line 67 of file mchullwhiteengine.hpp.
◆ seed_
|
private |
Definition at line 68 of file mchullwhiteengine.hpp.