American Monte Carlo engine. More...

#include <ql/pricingengines/vanilla/mcamericanengine.hpp>

Inheritance diagram for MCAmericanEngine< RNG, S, RNG_Calibration >:

Collaboration diagram for MCAmericanEngine< RNG, S, RNG_Calibration >:

Public Member Functions
	MCAmericanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomialOrder, LsmBasisSystem::PolynomialType polynomialType, Size nCalibrationSamples=Null< Size >(), const ext::optional< bool > &antitheticVariateCalibration=ext::nullopt, BigNatural seedCalibration=Null< Size >())

void	calculate () const override

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::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< LongstaffSchwartzPathPricer< Path > >	lsmPathPricer () const override

Real	controlVariateValue () const override

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

ext::shared_ptr< PathPricer< Path > >	controlPathPricer () 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_type >	pathPricer () const override

ext::shared_ptr< path_generator_type >	pathGenerator () 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

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< StochasticProcess >	process_

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 S = Statistics, class RNG_Calibration = RNG>
class QuantLib::MCAmericanEngine< RNG, S, RNG_Calibration >

American Monte Carlo engine.

References:

Tests:: the correctness of the returned value is tested by reproducing results available in web/literature

Definition at line 52 of file mcamericanengine.hpp.

Constructor & Destructor Documentation

◆ MCAmericanEngine()

MCAmericanEngine	(	const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		Size	timeSteps,
		Size	timeStepsPerYear,
		bool	antitheticVariate,
		bool	controlVariate,
		Size	requiredSamples,
		Real	requiredTolerance,
		Size	maxSamples,
		BigNatural	seed,
		Size	polynomialOrder,
		LsmBasisSystem::PolynomialType	polynomialType,
		Size	nCalibrationSamples = `Null<Size>()`,
		const ext::optional< bool > &	antitheticVariateCalibration = `ext::nullopt`,
		BigNatural	seedCalibration = `Null<Size>()`
	)

Definition at line 142 of file mcamericanengine.hpp.

Member Function Documentation

◆ calculate()

void calculate

overridevirtual

Reimplemented from MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >.

Definition at line 175 of file mcamericanengine.hpp.

◆ lsmPathPricer()

ext::shared_ptr< LongstaffSchwartzPathPricer< Path > > lsmPathPricer

overrideprotectedvirtual

Implements MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >.

Definition at line 187 of file mcamericanengine.hpp.

◆ controlVariateValue()

Real controlVariateValue

overrideprotectedvirtual

Reimplemented from McSimulation< MC, RNG, S >.

Definition at line 246 of file mcamericanengine.hpp.

◆ controlPricingEngine()

ext::shared_ptr< PricingEngine > controlPricingEngine

overrideprotectedvirtual

Reimplemented from McSimulation< MC, RNG, S >.

Definition at line 234 of file mcamericanengine.hpp.

◆ controlPathPricer()

ext::shared_ptr< PathPricer< Path > > controlPathPricer

overrideprotectedvirtual

Reimplemented from McSimulation< MC, RNG, S >.

Definition at line 213 of file mcamericanengine.hpp.

Member Data Documentation

◆ polynomialOrder_

const Size polynomialOrder_

private

Definition at line 81 of file mcamericanengine.hpp.

◆ polynomialType_

const LsmBasisSystem::PolynomialType polynomialType_

private

Definition at line 82 of file mcamericanengine.hpp.

Public Member Functions

Protected Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ MCAmericanEngine()

Member Function Documentation

◆ calculate()

◆ lsmPathPricer()

◆ controlVariateValue()

◆ controlPricingEngine()

◆ controlPathPricer()

Member Data Documentation

◆ polynomialOrder_

◆ polynomialType_