Pricing engine for vanilla options using Monte Carlo simulation. More...
#include <mcvanillaengine.hpp>
Inheritance diagram for MCVanillaEngine< MC, RNG, S, Inst >:
Collaboration diagram for MCVanillaEngine< MC, RNG, S, Inst >:
Public Member Functions | |
| void | calculate () const override |
| 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 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 |
| typedef McSimulation< MC, RNG, S >::result_type | result_type |
Protected Member Functions | |
| MCVanillaEngine (ext::shared_ptr< StochasticProcess >, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| TimeGrid | timeGrid () const override |
| ext::shared_ptr< path_generator_type > | pathGenerator () const override |
| result_type | controlVariateValue () 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 McSimulation< MC, RNG, S > | |
| ext::shared_ptr< MonteCarloModel< MC, RNG, S > > | mcModel_ |
| bool | antitheticVariate_ |
| bool | controlVariate_ |
Additional Inherited Members | |
| 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 |
| 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, class S = Statistics, class Inst = VanillaOption>
class QuantLib::MCVanillaEngine< MC, RNG, S, Inst >
class QuantLib::MCVanillaEngine< MC, RNG, S, Inst >
Pricing engine for vanilla options using Monte Carlo simulation.
Definition at line 37 of file mcvanillaengine.hpp.
Member Typedef Documentation
◆ path_generator_type
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protected |
Definition at line 52 of file mcvanillaengine.hpp.
◆ path_pricer_type
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protected |
Definition at line 54 of file mcvanillaengine.hpp.
◆ stats_type
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protected |
Definition at line 56 of file mcvanillaengine.hpp.
◆ result_type
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protected |
Definition at line 58 of file mcvanillaengine.hpp.
Constructor & Destructor Documentation
◆ MCVanillaEngine()
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protected |
Definition at line 96 of file mcvanillaengine.hpp.
Member Function Documentation
◆ calculate()
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override |
Definition at line 40 of file mcvanillaengine.hpp.
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◆ timeGrid()
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overrideprotectedvirtual |
Implements McSimulation< MC, RNG, S >.
Definition at line 153 of file mcvanillaengine.hpp.
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◆ pathGenerator()
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overrideprotectedvirtual |
Implements McSimulation< MC, RNG, S >.
Definition at line 72 of file mcvanillaengine.hpp.
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◆ controlVariateValue()
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overrideprotectedvirtual |
Reimplemented from McSimulation< MC, RNG, S >.
Definition at line 128 of file mcvanillaengine.hpp.
Member Data Documentation
◆ process_
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protected |
Definition at line 84 of file mcvanillaengine.hpp.
◆ timeSteps_
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protected |
Definition at line 85 of file mcvanillaengine.hpp.
◆ timeStepsPerYear_
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protected |
Definition at line 85 of file mcvanillaengine.hpp.
◆ requiredSamples_
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protected |
Definition at line 86 of file mcvanillaengine.hpp.
◆ maxSamples_
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protected |
Definition at line 86 of file mcvanillaengine.hpp.
◆ requiredTolerance_
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protected |
Definition at line 87 of file mcvanillaengine.hpp.
◆ brownianBridge_
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protected |
Definition at line 88 of file mcvanillaengine.hpp.
◆ seed_
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protected |
Definition at line 89 of file mcvanillaengine.hpp.