MonteCarloModel< MC, RNG, S > Class Template Reference

General-purpose Monte Carlo model for path samples. More...

#include <montecarlomodel.hpp>

Collaboration diagram for MonteCarloModel< MC, RNG, S >:

Public Types
typedef MC< RNG >	mc_traits
typedef RNG	rng_traits
typedef MC< RNG >::path_generator_type	path_generator_type
typedef MC< RNG >::path_pricer_type	path_pricer_type
typedef path_generator_type::sample_type	sample_type
typedef path_pricer_type::result_type	result_type
typedef S	stats_type

Public Member Functions
	MonteCarloModel (ext::shared_ptr< path_generator_type > pathGenerator, ext::shared_ptr< path_pricer_type > pathPricer, stats_type sampleAccumulator, bool antitheticVariate, ext::shared_ptr< path_pricer_type > cvPathPricer=ext::shared_ptr< path_pricer_type >(), result_type cvOptionValue=result_type(), ext::shared_ptr< path_generator_type > cvPathGenerator=ext::shared_ptr< path_generator_type >())
void	addSamples (Size samples)
const stats_type &	sampleAccumulator () const

Private Attributes
ext::shared_ptr< path_generator_type >	pathGenerator_
ext::shared_ptr< path_pricer_type >	pathPricer_
stats_type	sampleAccumulator_
bool	isAntitheticVariate_
ext::shared_ptr< path_pricer_type >	cvPathPricer_
result_type	cvOptionValue_
bool	isControlVariate_
ext::shared_ptr< path_generator_type >	cvPathGenerator_

Detailed Description

template<template< class > class MC, class RNG, class S = Statistics>
class QuantLib::MonteCarloModel< MC, RNG, S >

General-purpose Monte Carlo model for path samples.

The template arguments of this class correspond to available policies for the particular model to be instantiated—i.e., whether it is single- or multi-asset, or whether it should use pseudo-random or low-discrepancy numbers for path generation. Such decisions are grouped in trait classes so as to be orthogonal—see mctraits.hpp for examples.

The constructor accepts two safe references, i.e. two smart pointers, one to a path generator and the other to a path pricer. In case of control variate technique the user should provide the additional control option, namely the option path pricer and the option value.

Examples

DiscreteHedging.cpp.

Definition at line 52 of file montecarlomodel.hpp.

Member Typedef Documentation

mc_traits

typedef MC<RNG> mc_traits

Definition at line 54 of file montecarlomodel.hpp.

rng_traits

typedef RNG rng_traits

Definition at line 55 of file montecarlomodel.hpp.

path_generator_type

typedef MC<RNG>::path_generator_type path_generator_type

Definition at line 56 of file montecarlomodel.hpp.

path_pricer_type

typedef MC<RNG>::path_pricer_type path_pricer_type

Definition at line 57 of file montecarlomodel.hpp.

sample_type

typedef path_generator_type::sample_type sample_type

Definition at line 58 of file montecarlomodel.hpp.

result_type

typedef path_pricer_type::result_type result_type

Definition at line 59 of file montecarlomodel.hpp.

stats_type

typedef S stats_type

Definition at line 60 of file montecarlomodel.hpp.

Constructor & Destructor Documentation

MonteCarloModel()

MonteCarloModel	(	ext::shared_ptr< path_generator_type >	pathGenerator,
		ext::shared_ptr< path_pricer_type >	pathPricer,
		stats_type	sampleAccumulator,
		bool	antitheticVariate,
		ext::shared_ptr< path_pricer_type >	cvPathPricer = ext::shared_ptr<path_pricer_type>(),
		result_type	cvOptionValue = result_type(),
		ext::shared_ptr< path_generator_type >	cvPathGenerator = ext::shared_ptr<path_generator_type>()
	)

Definition at line 62 of file montecarlomodel.hpp.

Member Function Documentation

addSamples()

void addSamples

(

Size

samples

)

Definition at line 92 of file montecarlomodel.hpp.

sampleAccumulator()

const MonteCarloModel< MC, RNG, S >::stats_type & sampleAccumulator

Definition at line 129 of file montecarlomodel.hpp.

Member Data Documentation

pathGenerator_

ext::shared_ptr<path_generator_type> pathGenerator_

private

Definition at line 80 of file montecarlomodel.hpp.

pathPricer_

ext::shared_ptr<path_pricer_type> pathPricer_

private

Definition at line 81 of file montecarlomodel.hpp.

sampleAccumulator_

stats_type sampleAccumulator_

private

Definition at line 82 of file montecarlomodel.hpp.

isAntitheticVariate_

bool isAntitheticVariate_

private

Definition at line 83 of file montecarlomodel.hpp.

cvPathPricer_

ext::shared_ptr<path_pricer_type> cvPathPricer_

private

Definition at line 84 of file montecarlomodel.hpp.

cvOptionValue_

result_type cvOptionValue_

private

Definition at line 85 of file montecarlomodel.hpp.

isControlVariate_

bool isControlVariate_

private

Definition at line 86 of file montecarlomodel.hpp.

cvPathGenerator_

ext::shared_ptr<path_generator_type> cvPathGenerator_

private

Definition at line 87 of file montecarlomodel.hpp.