Monte Carlo framework

Classes
class	LongstaffSchwartzMultiPathPricer
	Longstaff-Schwarz path pricer for early exercise options. More...
class	BrownianBridge
	Builds Wiener process paths using Gaussian variates. More...
class	EarlyExercisePathPricer< PathType, TimeType, ValueType >
	base class for early exercise path pricers More...
class	LongstaffSchwartzPathPricer< PathType >
	Longstaff-Schwarz path pricer for early exercise options. More...
class	MonteCarloModel< MC, RNG, S >
	General-purpose Monte Carlo model for path samples. More...
class	MultiPath
	Correlated multiple asset paths. More...
class	MultiPathGenerator< GSG >
	Generates a multipath from a random number generator. More...
class	Path
	single-factor random walk More...
class	PathGenerator< GSG >
	Generates random paths using a sequence generator. More...
class	PathPricer< PathType, ValueType >
	base class for path pricers More...
struct	Sample< T >
	weighted sample More...

Detailed Description

This framework (corresponding to the ql/methods/montecarlo directory) contains basic building blocks for Monte Carlo simulations.