QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | Private Member Functions | Private Attributes | List of all members
MCPagodaEngine< RNG, S > Class Template Reference

Pricing engine for pagoda options using Monte Carlo simulation. More...

#include <mcpagodaengine.hpp>

+ Inheritance diagram for MCPagodaEngine< RNG, S >:
+ Collaboration diagram for MCPagodaEngine< RNG, S >:

Public Types

typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type
 
typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type
 
typedef McSimulation< MultiVariate, 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

 MCPagodaEngine (ext::shared_ptr< StochasticProcessArray >, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< PagodaOption::arguments, PagodaOption::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...
 

Private Member Functions

TimeGrid timeGrid () const override
 
ext::shared_ptr< path_generator_typepathGenerator () const override
 
ext::shared_ptr< path_pricer_typepathPricer () const override
 

Private Attributes

ext::shared_ptr< StochasticProcessArrayprocesses_
 
Size requiredSamples_
 
Size maxSamples_
 
Real requiredTolerance_
 
bool brownianBridge_
 
BigNatural seed_
 

Additional Inherited Members

- 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
 
- 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 GenericEngine< PagodaOption::arguments, PagodaOption::results >
PagodaOption::arguments arguments_
 
PagodaOption::results 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 QuantLib::MCPagodaEngine< RNG, S >

Pricing engine for pagoda options using Monte Carlo simulation.

Definition at line 38 of file mcpagodaengine.hpp.

Member Typedef Documentation

◆ path_generator_type

typedef McSimulation<MultiVariate,RNG,S>::path_generator_type path_generator_type

Definition at line 42 of file mcpagodaengine.hpp.

◆ path_pricer_type

typedef McSimulation<MultiVariate,RNG,S>::path_pricer_type path_pricer_type

Definition at line 44 of file mcpagodaengine.hpp.

◆ stats_type

typedef McSimulation<MultiVariate,RNG,S>::stats_type stats_type

Definition at line 46 of file mcpagodaengine.hpp.

Constructor & Destructor Documentation

◆ MCPagodaEngine()

MCPagodaEngine ( ext::shared_ptr< StochasticProcessArray processes,
bool  brownianBridge,
bool  antitheticVariate,
Size  requiredSamples,
Real  requiredTolerance,
Size  maxSamples,
BigNatural  seed 
)

Definition at line 130 of file mcpagodaengine.hpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 55 of file mcpagodaengine.hpp.

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◆ timeGrid()

TimeGrid timeGrid
overrideprivatevirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 144 of file mcpagodaengine.hpp.

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◆ pathGenerator()

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

Implements McSimulation< MC, RNG, S >.

Definition at line 68 of file mcpagodaengine.hpp.

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◆ pathPricer()

ext::shared_ptr< typename MCPagodaEngine< RNG, S >::path_pricer_type > pathPricer
overrideprivatevirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 163 of file mcpagodaengine.hpp.

Member Data Documentation

◆ processes_

ext::shared_ptr<StochasticProcessArray> processes_
private

Definition at line 83 of file mcpagodaengine.hpp.

◆ requiredSamples_

Size requiredSamples_
private

Definition at line 84 of file mcpagodaengine.hpp.

◆ maxSamples_

Size maxSamples_
private

Definition at line 85 of file mcpagodaengine.hpp.

◆ requiredTolerance_

Real requiredTolerance_
private

Definition at line 86 of file mcpagodaengine.hpp.

◆ brownianBridge_

bool brownianBridge_
private

Definition at line 87 of file mcpagodaengine.hpp.

◆ seed_

BigNatural seed_
private

Definition at line 88 of file mcpagodaengine.hpp.