Monte Carlo Heston-model engine for European options. More...
#include <mceuropeanhestonengine.hpp>
Inheritance diagram for MCEuropeanHestonEngine< RNG, S, P >:
Collaboration diagram for MCEuropeanHestonEngine< RNG, S, P >:
Public Types | |
| typedef MCVanillaEngine< MultiVariate, 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 | |
| MCEuropeanHestonEngine (const ext::shared_ptr< P > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| Public Member Functions inherited from MCVanillaEngine< MC, RNG, S, Inst > | |
| 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 | |
| ext::shared_ptr< path_pricer_type > | pathPricer () const override |
| Protected Member Functions inherited from MCVanillaEngine< MC, RNG, S, Inst > | |
| MCVanillaEngine (ext::shared_ptr< StochasticProcess >, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| TimeGrid | timeGrid () const override |
| ext::shared_ptr< path_generator_type > | pathGenerator () const override |
| result_type | controlVariateValue () 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 |
Additional Inherited Members | |
| Protected Types inherited from MCVanillaEngine< MC, RNG, S, Inst > | |
| typedef McSimulation< MC, RNG, S >::path_generator_type | path_generator_type |
| typedef McSimulation< MC, RNG, S >::path_pricer_type | path_pricer_type |
| typedef McSimulation< MC, RNG, S >::stats_type | stats_type |
| typedef McSimulation< 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 MCVanillaEngine< MC, RNG, S, Inst > | |
| ext::shared_ptr< StochasticProcess > | process_ |
| Size | timeSteps_ |
| Size | timeStepsPerYear_ |
| Size | requiredSamples_ |
| Size | maxSamples_ |
| Real | requiredTolerance_ |
| bool | brownianBridge_ |
| BigNatural | seed_ |
| 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 P = HestonProcess>
class QuantLib::MCEuropeanHestonEngine< RNG, S, P >
class QuantLib::MCEuropeanHestonEngine< RNG, S, P >
Monte Carlo Heston-model engine for European options.
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature
Definition at line 42 of file mceuropeanhestonengine.hpp.
Member Typedef Documentation
◆ path_pricer_type
| typedef MCVanillaEngine<MultiVariate,RNG,S>::path_pricer_type path_pricer_type |
Definition at line 46 of file mceuropeanhestonengine.hpp.
Constructor & Destructor Documentation
◆ MCEuropeanHestonEngine()
| MCEuropeanHestonEngine | ( | const ext::shared_ptr< P > & | process, |
| Size | timeSteps, | ||
| Size | timeStepsPerYear, | ||
| bool | antitheticVariate, | ||
| Size | requiredSamples, | ||
| Real | requiredTolerance, | ||
| Size | maxSamples, | ||
| BigNatural | seed | ||
| ) |
Definition at line 100 of file mceuropeanhestonengine.hpp.
Member Function Documentation
◆ pathPricer()
|
overrideprotectedvirtual |
Implements McSimulation< MC, RNG, S >.
Definition at line 114 of file mceuropeanhestonengine.hpp.