Monte Carlo engine for forward-starting vanilla options. More...
#include <mcforwardvanillaengine.hpp>
Inheritance diagram for MCForwardVanillaEngine< MC, RNG, S >:
Collaboration diagram for MCForwardVanillaEngine< MC, RNG, S >:
Public Types | |
| 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 |
| 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 | |
| MCForwardVanillaEngine (ext::shared_ptr< StochasticProcess > process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, bool controlVariate=false) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::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 override |
| Real | controlVariateValue () 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 |
Protected Attributes | |
| ext::shared_ptr< StochasticProcess > | process_ |
| Size | timeSteps_ |
| Size | timeStepsPerYear_ |
| Size | requiredSamples_ |
| Size | maxSamples_ |
| Real | requiredTolerance_ |
| bool | brownianBridge_ |
| BigNatural | seed_ |
| Protected Attributes inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
| ForwardOptionArguments< VanillaOption::arguments > | arguments_ |
| VanillaOption::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<template< class > class MC, class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCForwardVanillaEngine< MC, RNG, S >
class QuantLib::MCForwardVanillaEngine< MC, RNG, S >
Monte Carlo engine for forward-starting vanilla options.
Definition at line 35 of file mcforwardvanillaengine.hpp.
Member Typedef Documentation
◆ path_generator_type
| typedef McSimulation<MC,RNG,S>::path_generator_type path_generator_type |
Definition at line 41 of file mcforwardvanillaengine.hpp.
◆ path_pricer_type
| typedef McSimulation<MC,RNG,S>::path_pricer_type path_pricer_type |
Definition at line 43 of file mcforwardvanillaengine.hpp.
◆ stats_type
| typedef McSimulation<MC,RNG,S>::stats_type stats_type |
Definition at line 45 of file mcforwardvanillaengine.hpp.
Constructor & Destructor Documentation
◆ MCForwardVanillaEngine()
| MCForwardVanillaEngine | ( | ext::shared_ptr< StochasticProcess > | process, |
| Size | timeSteps, | ||
| Size | timeStepsPerYear, | ||
| bool | brownianBridge, | ||
| bool | antitheticVariate, | ||
| Size | requiredSamples, | ||
| Real | requiredTolerance, | ||
| Size | maxSamples, | ||
| BigNatural | seed, | ||
| bool | controlVariate = false |
||
| ) |
Member Function Documentation
◆ calculate()
|
overridevirtual |
Implements PricingEngine.
Definition at line 57 of file mcforwardvanillaengine.hpp.
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◆ timeGrid()
|
overrideprotectedvirtual |
Implements McSimulation< MC, RNG, S >.
Definition at line 121 of file mcforwardvanillaengine.hpp.
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◆ controlVariateValue()
|
overrideprotectedvirtual |
Reimplemented from McSimulation< MC, RNG, S >.
Definition at line 144 of file mcforwardvanillaengine.hpp.
◆ pathGenerator()
|
overrideprotectedvirtual |
Implements McSimulation< MC, RNG, S >.
Definition at line 71 of file mcforwardvanillaengine.hpp.
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Member Data Documentation
◆ process_
|
protected |
Definition at line 82 of file mcforwardvanillaengine.hpp.
◆ timeSteps_
|
protected |
Definition at line 83 of file mcforwardvanillaengine.hpp.
◆ timeStepsPerYear_
|
protected |
Definition at line 83 of file mcforwardvanillaengine.hpp.
◆ requiredSamples_
|
protected |
Definition at line 83 of file mcforwardvanillaengine.hpp.
◆ maxSamples_
|
protected |
Definition at line 83 of file mcforwardvanillaengine.hpp.
◆ requiredTolerance_
|
protected |
Definition at line 84 of file mcforwardvanillaengine.hpp.
◆ brownianBridge_
|
protected |
Definition at line 85 of file mcforwardvanillaengine.hpp.
◆ seed_
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protected |
Definition at line 86 of file mcforwardvanillaengine.hpp.