MCPerformanceEngine< RNG, S > Class Template Reference

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

#include <mcperformanceengine.hpp>

Inheritance diagram for MCPerformanceEngine< RNG, S >:

Collaboration diagram for MCPerformanceEngine< RNG, S >:

Public Types
typedef McSimulation< SingleVariate, RNG, S >::path_generator_type	path_generator_type
typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type	path_pricer_type
typedef McSimulation< SingleVariate, 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
	MCPerformanceEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void	calculate () const override
Public Member Functions inherited from GenericEngine< CliquetOption::arguments, CliquetOption::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
ext::shared_ptr< path_generator_type >	pathGenerator () const override
ext::shared_ptr< path_pricer_type >	pathPricer () 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< GeneralizedBlackScholesProcess >	process_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	brownianBridge_
BigNatural	seed_
Protected Attributes inherited from GenericEngine< CliquetOption::arguments, CliquetOption::results >
CliquetOption::arguments	arguments_
CliquetOption::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<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCPerformanceEngine< RNG, S >

Pricing engine for performance options using Monte Carlo simulation.

Definition at line 33 of file mcperformanceengine.hpp.

Member Typedef Documentation

path_generator_type

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

Definition at line 38 of file mcperformanceengine.hpp.

path_pricer_type

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

Definition at line 40 of file mcperformanceengine.hpp.

stats_type

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

Definition at line 42 of file mcperformanceengine.hpp.

Constructor & Destructor Documentation

MCPerformanceEngine()

MCPerformanceEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		bool	brownianBridge,
		bool	antitheticVariate,
		Size	requiredSamples,
		Real	requiredTolerance,
		Size	maxSamples,
		BigNatural	seed
	)

Definition at line 124 of file mcperformanceengine.hpp.

Here is the call graph for this function:

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 51 of file mcperformanceengine.hpp.

Here is the call graph for this function:

timeGrid()

TimeGrid timeGrid

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 140 of file mcperformanceengine.hpp.

Here is the caller graph for this function:

pathGenerator()

ext::shared_ptr< path_generator_type > pathGenerator ( ) const

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 64 of file mcperformanceengine.hpp.

Here is the call graph for this function:

pathPricer()

ext::shared_ptr< typename MCPerformanceEngine< RNG, S >::path_pricer_type > pathPricer

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 154 of file mcperformanceengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

protected

Definition at line 75 of file mcperformanceengine.hpp.

requiredSamples_

Size requiredSamples_

protected

Definition at line 76 of file mcperformanceengine.hpp.

maxSamples_

Size maxSamples_

protected

Definition at line 76 of file mcperformanceengine.hpp.

requiredTolerance_

Real requiredTolerance_

protected

Definition at line 77 of file mcperformanceengine.hpp.

brownianBridge_

bool brownianBridge_

protected

Definition at line 78 of file mcperformanceengine.hpp.

seed_

BigNatural seed_

protected

Definition at line 79 of file mcperformanceengine.hpp.