MCLookbackEngine< I, RNG, S > Class Template Reference

Monte Carlo lookback-option engine. More...

#include <mclookbackengine.hpp>

Inheritance diagram for MCLookbackEngine< I, RNG, S >:

Collaboration diagram for MCLookbackEngine< I, RNG, S >:

Public Types
typedef McSimulation< SingleVariate, RNG, S >::path_generator_type	path_generator_type
typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type	path_pricer_type
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
	MCLookbackEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antithetic, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void	calculate () const override
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
TimeGrid	timeGrid () const override
ext::shared_ptr< path_generator_type >	pathGenerator () const override
ext::shared_ptr< path_pricer_type >	pathPricer () const override
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

Protected Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Size	timeSteps_
Size	timeStepsPerYear_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	antithetic_
bool	brownianBridge_
BigNatural	seed_
Protected Attributes inherited from McSimulation< MC, RNG, S >
ext::shared_ptr< MonteCarloModel< MC, RNG, S > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

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)

Detailed Description

template<class I, class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCLookbackEngine< I, RNG, S >

Monte Carlo lookback-option engine.

Definition at line 37 of file mclookbackengine.hpp.

Member Typedef Documentation

path_generator_type

typedef McSimulation<SingleVariate,RNG,S>::path_generator_type path_generator_type

Definition at line 41 of file mclookbackengine.hpp.

path_pricer_type

typedef McSimulation<SingleVariate,RNG,S>::path_pricer_type path_pricer_type

Definition at line 43 of file mclookbackengine.hpp.

Constructor & Destructor Documentation

MCLookbackEngine()

MCLookbackEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Size	timeSteps,
		Size	timeStepsPerYear,
		bool	brownianBridge,
		bool	antithetic,
		Size	requiredSamples,
		Real	requiredTolerance,
		Size	maxSamples,
		BigNatural	seed
	)

Definition at line 117 of file mclookbackengine.hpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 54 of file mclookbackengine.hpp.

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timeGrid()

TimeGrid timeGrid

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 148 of file mclookbackengine.hpp.

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pathGenerator()

ext::shared_ptr< path_generator_type > pathGenerator ( ) const

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 69 of file mclookbackengine.hpp.

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pathPricer()

ext::shared_ptr< typename MCLookbackEngine< I, RNG, S >::path_pricer_type > pathPricer

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 195 of file mclookbackengine.hpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

protected

Definition at line 79 of file mclookbackengine.hpp.

timeSteps_

Size timeSteps_

protected

Definition at line 80 of file mclookbackengine.hpp.

timeStepsPerYear_

Size timeStepsPerYear_

protected

Definition at line 80 of file mclookbackengine.hpp.

requiredSamples_

Size requiredSamples_

protected

Definition at line 81 of file mclookbackengine.hpp.

maxSamples_

Size maxSamples_

protected

Definition at line 81 of file mclookbackengine.hpp.

requiredTolerance_

Real requiredTolerance_

protected

Definition at line 82 of file mclookbackengine.hpp.

antithetic_

bool antithetic_

protected

Definition at line 83 of file mclookbackengine.hpp.

brownianBridge_

bool brownianBridge_

protected

Definition at line 84 of file mclookbackengine.hpp.

seed_

BigNatural seed_

protected

Definition at line 85 of file mclookbackengine.hpp.