McSimulation< MC, RNG, S > Class Template Reference

base class for Monte Carlo engines More...

#include <mcsimulation.hpp>

Inheritance diagram for McSimulation< MC, RNG, S >:

Collaboration diagram for McSimulation< MC, RNG, S >:

Public Types
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
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
	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

Static Protected Member Functions
template<class Sequence >
static Real	maxError (const Sequence &sequence)
static Real	maxError (Real error)

Protected Attributes
ext::shared_ptr< MonteCarloModel< MC, RNG, S > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

Detailed Description

template<template< class > class MC, class RNG, class S = Statistics>
class QuantLib::McSimulation< MC, RNG, S >

base class for Monte Carlo engines

Eventually this class might offer greeks methods. Deriving a class from McSimulation gives an easy way to write a Monte Carlo engine.

See McVanillaEngine as an example.

Definition at line 43 of file mcsimulation.hpp.

Member Typedef Documentation

path_generator_type

typedef MonteCarloModel<MC,RNG,S>::path_generator_type path_generator_type

Definition at line 46 of file mcsimulation.hpp.

path_pricer_type

typedef MonteCarloModel<MC,RNG,S>::path_pricer_type path_pricer_type

Definition at line 48 of file mcsimulation.hpp.

stats_type

typedef MonteCarloModel<MC,RNG,S>::stats_type stats_type

Definition at line 50 of file mcsimulation.hpp.

result_type

typedef MonteCarloModel<MC,RNG,S>::result_type result_type

Definition at line 51 of file mcsimulation.hpp.

Constructor & Destructor Documentation

~McSimulation()

virtual ~McSimulation ( )

virtualdefault

McSimulation()

McSimulation ( bool  antitheticVariate, bool  controlVariate  )

protected

Definition at line 69 of file mcsimulation.hpp.

Member Function Documentation

value()

McSimulation< MC, RNG, S >::result_type value	(	Real	tolerance,
		Size	maxSamples = QL_MAX_INTEGER,
		Size	minSamples = 1023
	)		const

add samples until the required absolute tolerance is reached

Definition at line 106 of file mcsimulation.hpp.

valueWithSamples()

McSimulation< MC, RNG, S >::result_type valueWithSamples

(

Size

samples

)

const

simulate a fixed number of samples

Definition at line 144 of file mcsimulation.hpp.

errorEstimate()

McSimulation< MC, RNG, S >::result_type errorEstimate

error estimated using the samples simulated so far

Definition at line 211 of file mcsimulation.hpp.

sampleAccumulator()

const McSimulation< MC, RNG, S >::stats_type & sampleAccumulator

access to the sample accumulator for richer statistics

Definition at line 217 of file mcsimulation.hpp.

calculate()

void calculate	(	Real	requiredTolerance,
		Size	requiredSamples,
		Size	maxSamples
	)		const

basic calculate method provided to inherited pricing engines

Definition at line 159 of file mcsimulation.hpp.

Here is the caller graph for this function:

pathPricer()

virtual ext::shared_ptr< path_pricer_type > pathPricer ( ) const

protectedpure virtual

Implemented in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >, MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, PseudoRandom >, MCPathBasketEngine< RNG, S >, MCHullWhiteCapFloorEngine< RNG, S >, MCDoubleBarrierEngine< RNG, S >, MCEverestEngine< RNG, S >, MCHimalayaEngine< RNG, S >, MCPagodaEngine< RNG, S >, MCDiscreteArithmeticAPEngine< RNG, S >, MCDiscreteArithmeticAPHestonEngine< RNG, S, P >, MCDiscreteArithmeticASEngine< RNG, S >, MCDiscreteGeometricAPEngine< RNG, S >, MCDiscreteGeometricAPHestonEngine< RNG, S, P >, MCBarrierEngine< RNG, S >, MCEuropeanBasketEngine< RNG, S >, MCPerformanceEngine< RNG, S >, MCForwardEuropeanBSEngine< RNG, S >, MCForwardEuropeanHestonEngine< RNG, S, P >, MCVarianceSwapEngine< RNG, S >, MCLookbackEngine< I, RNG, S >, MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >, MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >, MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >, MCDigitalEngine< RNG, S >, MCEuropeanEngine< RNG, S >, MCEuropeanGJRGARCHEngine< RNG, S >, MCEuropeanHestonEngine< RNG, S, P >, and MCHestonHullWhiteEngine< RNG, S >.

pathGenerator()

virtual ext::shared_ptr< path_generator_type > pathGenerator ( ) const

protectedpure virtual

Implemented in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >, MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, PseudoRandom >, MCPathBasketEngine< RNG, S >, MCHullWhiteCapFloorEngine< RNG, S >, MCDoubleBarrierEngine< RNG, S >, MCEverestEngine< RNG, S >, MCHimalayaEngine< RNG, S >, MCPagodaEngine< RNG, S >, MCDiscreteAveragingAsianEngineBase< MC, RNG, S >, MCDiscreteAveragingAsianEngineBase< SingleVariate, PseudoRandom, Statistics >, MCDiscreteAveragingAsianEngineBase< MultiVariate, PseudoRandom, Statistics >, MCBarrierEngine< RNG, S >, MCEuropeanBasketEngine< RNG, S >, MCPerformanceEngine< RNG, S >, MCForwardVanillaEngine< MC, RNG, S >, MCForwardVanillaEngine< SingleVariate, PseudoRandom, Statistics >, MCForwardVanillaEngine< MultiVariate, PseudoRandom, Statistics >, MCVarianceSwapEngine< RNG, S >, MCLookbackEngine< I, RNG, S >, MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >, MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >, MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >, MCVanillaEngine< MC, RNG, S, Inst >, MCVanillaEngine< SingleVariate, PseudoRandom, Statistics >, and MCVanillaEngine< MultiVariate, PseudoRandom, Statistics >.

timeGrid()

virtual TimeGrid timeGrid ( ) const

protectedpure virtual

Implemented in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >, MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, PseudoRandom >, MCPathBasketEngine< RNG, S >, MCHullWhiteCapFloorEngine< RNG, S >, MCDoubleBarrierEngine< RNG, S >, MCEverestEngine< RNG, S >, MCHimalayaEngine< RNG, S >, MCPagodaEngine< RNG, S >, MCDiscreteAveragingAsianEngineBase< MC, RNG, S >, MCDiscreteAveragingAsianEngineBase< SingleVariate, PseudoRandom, Statistics >, MCDiscreteAveragingAsianEngineBase< MultiVariate, PseudoRandom, Statistics >, MCBarrierEngine< RNG, S >, MCEuropeanBasketEngine< RNG, S >, MCPerformanceEngine< RNG, S >, MCForwardVanillaEngine< MC, RNG, S >, MCForwardVanillaEngine< SingleVariate, PseudoRandom, Statistics >, MCForwardVanillaEngine< MultiVariate, PseudoRandom, Statistics >, MCVarianceSwapEngine< RNG, S >, MCLookbackEngine< I, RNG, S >, MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >, MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >, MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, PseudoRandom, Statistics, PseudoRandom >, MCVanillaEngine< MC, RNG, S, Inst >, MCVanillaEngine< SingleVariate, PseudoRandom, Statistics >, and MCVanillaEngine< MultiVariate, PseudoRandom, Statistics >.

controlPathPricer()

virtual ext::shared_ptr< path_pricer_type > controlPathPricer ( ) const

protectedvirtual

Reimplemented in MCDiscreteArithmeticAPEngine< RNG, S >, MCDiscreteArithmeticAPHestonEngine< RNG, S, P >, MCForwardEuropeanHestonEngine< RNG, S, P >, MCAmericanEngine< RNG, S, RNG_Calibration >, and MCHestonHullWhiteEngine< RNG, S >.

Definition at line 77 of file mcsimulation.hpp.

controlPathGenerator()

virtual ext::shared_ptr< path_generator_type > controlPathGenerator ( ) const

protectedvirtual

Reimplemented in MCHestonHullWhiteEngine< RNG, S >.

Definition at line 81 of file mcsimulation.hpp.

controlPricingEngine()

virtual ext::shared_ptr< PricingEngine > controlPricingEngine ( ) const

protectedvirtual

Reimplemented in MCDiscreteArithmeticAPEngine< RNG, S >, MCDiscreteArithmeticAPHestonEngine< RNG, S, P >, MCForwardEuropeanHestonEngine< RNG, S, P >, MCAmericanEngine< RNG, S, RNG_Calibration >, and MCHestonHullWhiteEngine< RNG, S >.

Definition at line 84 of file mcsimulation.hpp.

controlVariateValue()

virtual result_type controlVariateValue ( ) const

protectedvirtual

Reimplemented in MCDiscreteAveragingAsianEngineBase< MC, RNG, S >, MCDiscreteAveragingAsianEngineBase< SingleVariate, PseudoRandom, Statistics >, MCDiscreteAveragingAsianEngineBase< MultiVariate, PseudoRandom, Statistics >, MCForwardVanillaEngine< MC, RNG, S >, MCForwardVanillaEngine< SingleVariate, PseudoRandom, Statistics >, MCForwardVanillaEngine< MultiVariate, PseudoRandom, Statistics >, MCAmericanEngine< RNG, S, RNG_Calibration >, MCVanillaEngine< MC, RNG, S, Inst >, MCVanillaEngine< SingleVariate, PseudoRandom, Statistics >, and MCVanillaEngine< MultiVariate, PseudoRandom, Statistics >.

Definition at line 87 of file mcsimulation.hpp.

maxError() [1/2]

static Real maxError ( const Sequence &  sequence )

staticprotected

Definition at line 91 of file mcsimulation.hpp.

maxError() [2/2]

static Real maxError ( Real  error )

staticprotected

Definition at line 94 of file mcsimulation.hpp.

Member Data Documentation

mcModel_

ext::shared_ptr<MonteCarloModel<MC,RNG,S> > mcModel_

mutableprotected

Definition at line 98 of file mcsimulation.hpp.

antitheticVariate_

bool antitheticVariate_

protected

Definition at line 99 of file mcsimulation.hpp.

controlVariate_

bool controlVariate_

protected

Definition at line 99 of file mcsimulation.hpp.