MCVanillaEngine Class Template Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/mcvanillaengine.hpp>
Inheritance diagram for MCVanillaEngine:

Detailed Description
template<class MC, class S = Statistics>
class QuantLib::MCVanillaEngine< MC, S >
Pricing engine for vanilla options using Monte Carlo simulation.
Public Member Functions | |
void | calculate () const |
Protected Types | |
typedef McSimulation< MC, S >::path_generator_type | path_generator_type |
typedef McSimulation< MC, S >::path_pricer_type | path_pricer_type |
typedef McSimulation< MC, S >::stats_type | stats_type |
Protected Member Functions | |
MCVanillaEngine (Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
TimeGrid | timeGrid () const |
boost::shared_ptr< path_generator_type > | pathGenerator () const |
Real | controlVariateValue () const |
Protected Attributes | |
Size | timeSteps_ |
Size | timeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |