MCPathBasketEngine< RNG, S > Class Template Reference

Pricing engine for path dependent basket options using. More...

#include <ql/experimental/mcbasket/mcpathbasketengine.hpp>

Inheritance diagram for MCPathBasketEngine< RNG, S >:

Collaboration diagram for MCPathBasketEngine< RNG, S >:

Public Types
typedef McSimulation< MultiVariate, RNG, S >::path_generator_type	path_generator_type
typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type	path_pricer_type
typedef McSimulation< MultiVariate, RNG, S >::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
	MCPathBasketEngine (ext::shared_ptr< StochasticProcessArray >, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void	calculate () const override
Public Member Functions inherited from GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::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
TimeGrid	timeGrid () const
ext::shared_ptr< path_generator_type >	pathGenerator () const
ext::shared_ptr< path_pricer_type >	pathPricer () 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

Protected Attributes
ext::shared_ptr< StochasticProcessArray >	process_
Size	timeSteps_
Size	timeStepsPerYear_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	brownianBridge_
BigNatural	seed_
Protected Attributes inherited from GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results >
PathMultiAssetOption::arguments	arguments_
PathMultiAssetOption::results	results_
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 RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCPathBasketEngine< RNG, S >

Pricing engine for path dependent basket options using.

Definition at line 41 of file mcpathbasketengine.hpp.

Member Typedef Documentation

path_generator_type

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

Definition at line 45 of file mcpathbasketengine.hpp.

path_pricer_type

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

Definition at line 47 of file mcpathbasketengine.hpp.

stats_type

typedef McSimulation<MultiVariate,RNG,S>::stats_type stats_type

Definition at line 49 of file mcpathbasketengine.hpp.

Constructor & Destructor Documentation

MCPathBasketEngine()

MCPathBasketEngine	(	ext::shared_ptr< StochasticProcessArray >	process,
		Size	timeSteps,
		Size	timeStepsPerYear,
		bool	brownianBridge,
		bool	antitheticVariate,
		bool	controlVariate,
		Size	requiredSamples,
		Real	requiredTolerance,
		Size	maxSamples,
		BigNatural	seed
	)

Definition at line 110 of file mcpathbasketengine.hpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 62 of file mcpathbasketengine.hpp.

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timeGrid()

TimeGrid timeGrid

protectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 162 of file mcpathbasketengine.hpp.

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pathGenerator()

ext::shared_ptr< typename MCPathBasketEngine< RNG, S >::path_generator_type > pathGenerator

protectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 144 of file mcpathbasketengine.hpp.

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pathPricer()

ext::shared_ptr< typename MCPathBasketEngine< RNG, S >::path_pricer_type > pathPricer

protectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 180 of file mcpathbasketengine.hpp.

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Member Data Documentation

process_

ext::shared_ptr<StochasticProcessArray> process_

protected

Definition at line 80 of file mcpathbasketengine.hpp.

timeSteps_

Size timeSteps_

protected

Definition at line 81 of file mcpathbasketengine.hpp.

timeStepsPerYear_

Size timeStepsPerYear_

protected

Definition at line 82 of file mcpathbasketengine.hpp.

requiredSamples_

Size requiredSamples_

protected

Definition at line 83 of file mcpathbasketengine.hpp.

maxSamples_

Size maxSamples_

protected

Definition at line 84 of file mcpathbasketengine.hpp.

requiredTolerance_

Real requiredTolerance_

protected

Definition at line 85 of file mcpathbasketengine.hpp.

brownianBridge_

bool brownianBridge_

protected

Definition at line 86 of file mcpathbasketengine.hpp.

seed_

BigNatural seed_

protected

Definition at line 87 of file mcpathbasketengine.hpp.