QuantLib: a free/open-source library for quantitative finance
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Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
MCForwardVanillaEngine< MC, RNG, S > Class Template Reference

Monte Carlo engine for forward-starting vanilla options. More...

#include <ql/pricingengines/forward/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::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

TimeGrid timeGrid () const override
 
Real controlVariateValue () 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
 

Protected Attributes

ext::shared_ptr< StochasticProcessprocess_
 
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::argumentsarguments_
 
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 >

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 
)

Definition at line 90 of file mcforwardvanillaengine.hpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 57 of file mcforwardvanillaengine.hpp.

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◆ timeGrid()

TimeGrid timeGrid
overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 121 of file mcforwardvanillaengine.hpp.

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◆ controlVariateValue()

Real controlVariateValue
overrideprotectedvirtual

Reimplemented from McSimulation< MC, RNG, S >.

Definition at line 144 of file mcforwardvanillaengine.hpp.

◆ pathGenerator()

ext::shared_ptr< path_generator_type > pathGenerator ( ) const
overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 71 of file mcforwardvanillaengine.hpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<StochasticProcess> process_
protected

Definition at line 82 of file mcforwardvanillaengine.hpp.

◆ timeSteps_

Size timeSteps_
protected

Definition at line 83 of file mcforwardvanillaengine.hpp.

◆ timeStepsPerYear_

Size timeStepsPerYear_
protected

Definition at line 83 of file mcforwardvanillaengine.hpp.

◆ requiredSamples_

Size requiredSamples_
protected

Definition at line 83 of file mcforwardvanillaengine.hpp.

◆ maxSamples_

Size maxSamples_
protected

Definition at line 83 of file mcforwardvanillaengine.hpp.

◆ requiredTolerance_

Real requiredTolerance_
protected

Definition at line 84 of file mcforwardvanillaengine.hpp.

◆ brownianBridge_

bool brownianBridge_
protected

Definition at line 85 of file mcforwardvanillaengine.hpp.

◆ seed_

BigNatural seed_
protected

Definition at line 86 of file mcforwardvanillaengine.hpp.