QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
MCAmericanBasketEngine< RNG > Class Template Reference

least-square Monte Carlo engine More...

#include <mcamericanbasketengine.hpp>

+ Inheritance diagram for MCAmericanBasketEngine< RNG >:
+ Collaboration diagram for MCAmericanBasketEngine< RNG >:

Public Member Functions

 MCAmericanBasketEngine (const ext::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), Size polynomialOrder=2, LsmBasisSystem::PolynomialType polynomialType=LsmBasisSystem::Monomial)
 
- Public Member Functions inherited from MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
 MCLongstaffSchwartzEngine (ext::shared_ptr< StochasticProcess > process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), ext::optional< bool > brownianBridgeCalibration=ext::nullopt, ext::optional< bool > antitheticVariateCalibration=ext::nullopt, BigNatural seedCalibration=Null< Size >())
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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_typesampleAccumulator () 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< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer () const override
 
- Protected Member Functions inherited from MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
virtual ext::shared_ptr< LongstaffSchwartzPathPricer< path_type > > lsmPathPricer () const =0
 
TimeGrid timeGrid () const override
 
ext::shared_ptr< path_pricer_typepathPricer () const override
 
ext::shared_ptr< path_generator_typepathGenerator () const override
 
- Protected Member Functions inherited from McSimulation< MC, RNG, S >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual ext::shared_ptr< path_pricer_typepathPricer () const =0
 
virtual ext::shared_ptr< path_generator_typepathGenerator () const =0
 
virtual TimeGrid timeGrid () const =0
 
virtual ext::shared_ptr< path_pricer_typecontrolPathPricer () const
 
virtual ext::shared_ptr< path_generator_typecontrolPathGenerator () const
 
virtual ext::shared_ptr< PricingEnginecontrolPricingEngine () const
 
virtual result_type controlVariateValue () const
 

Private Attributes

const Size polynomialOrder_
 
const LsmBasisSystem::PolynomialType polynomialType_
 

Additional Inherited Members

- Public Types inherited from MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
typedef MC< RNG >::path_type path_type
 
typedef McSimulation< MC, RNG, S >::stats_type stats_type
 
typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type
 
typedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type
 
typedef McSimulation< MC, RNG_Calibration, S >::path_generator_type path_generator_type_calibration
 
- 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
 
- 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 MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >
ext::shared_ptr< StochasticProcessprocess_
 
const Size timeSteps_
 
const Size timeStepsPerYear_
 
const bool brownianBridge_
 
const Size requiredSamples_
 
const Real requiredTolerance_
 
const Size maxSamples_
 
const BigNatural seed_
 
const Size nCalibrationSamples_
 
const bool brownianBridgeCalibration_
 
const bool antitheticVariateCalibration_
 
const BigNatural seedCalibration_
 
ext::shared_ptr< LongstaffSchwartzPathPricer< path_type > > pathPricer_
 
ext::shared_ptr< MonteCarloModel< MC, RNG_Calibration, S > > mcModelCalibration_
 
- Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType arguments_
 
ResultsType 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 QuantLib::MCAmericanBasketEngine< RNG >

least-square Monte Carlo engine

Warning:
This method is intrinsically weak for out-of-the-money options.

Definition at line 48 of file mcamericanbasketengine.hpp.

Constructor & Destructor Documentation

◆ MCAmericanBasketEngine()

MCAmericanBasketEngine ( const ext::shared_ptr< StochasticProcessArray > &  processes,
Size  timeSteps,
Size  timeStepsPerYear,
bool  brownianBridge,
bool  antitheticVariate,
Size  requiredSamples,
Real  requiredTolerance,
Size  maxSamples,
BigNatural  seed,
Size  nCalibrationSamples = Null<Size>(),
Size  polynomialOrder = 2,
LsmBasisSystem::PolynomialType  polynomialType = LsmBasisSystem::Monomial 
)

Definition at line 129 of file mcamericanbasketengine.hpp.

Member Function Documentation

◆ lsmPathPricer()

ext::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer
overrideprotectedvirtual

Member Data Documentation

◆ polynomialOrder_

const Size polynomialOrder_
private

Definition at line 68 of file mcamericanbasketengine.hpp.

◆ polynomialType_

const LsmBasisSystem::PolynomialType polynomialType_
private

Definition at line 69 of file mcamericanbasketengine.hpp.