QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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least-square Monte Carlo engine More...
#include <mcamericanpathengine.hpp>
Public Member Functions | |
MCAmericanPathEngine (const ext::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) | |
Public Member Functions inherited from MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
MCLongstaffSchwartzPathEngine (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 >()) | |
void | calculate () const |
Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType > | |
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< LongstaffSchwartzMultiPathPricer > | lsmPathPricer () const |
Protected Member Functions inherited from MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
virtual ext::shared_ptr< LongstaffSchwartzMultiPathPricer > | lsmPathPricer () const =0 |
TimeGrid | timeGrid () const |
ext::shared_ptr< path_pricer_type > | pathPricer () 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 |
Additional Inherited Members | |
Public Types inherited from MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
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 |
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 MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | |
ext::shared_ptr< StochasticProcess > | process_ |
const Size | timeSteps_ |
const Size | timeStepsPerYear_ |
const bool | brownianBridge_ |
const Size | requiredSamples_ |
const Real | requiredTolerance_ |
const Size | maxSamples_ |
const Size | seed_ |
const Size | nCalibrationSamples_ |
ext::shared_ptr< LongstaffSchwartzMultiPathPricer > | pathPricer_ |
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_ |
least-square Monte Carlo engine
Definition at line 40 of file mcamericanpathengine.hpp.
MCAmericanPathEngine | ( | const ext::shared_ptr< StochasticProcessArray > & | processes, |
Size | timeSteps, | ||
Size | timeStepsPerYear, | ||
bool | brownianBridge, | ||
bool | antitheticVariate, | ||
bool | controlVariate, | ||
Size | requiredSamples, | ||
Real | requiredTolerance, | ||
Size | maxSamples, | ||
BigNatural | seed, | ||
Size | nCalibrationSamples = Null<Size>() |
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) |
Definition at line 89 of file mcamericanpathengine.hpp.
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protectedvirtual |
Implements MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >.
Definition at line 116 of file mcamericanpathengine.hpp.