MCPerformanceEngine Class Template Reference
Pricing engine for performance options using Monte Carlo simulation. More...
#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>
Inheritance diagram for MCPerformanceEngine:

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 Member Functions | |
MCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
void | calculate () const |
Protected Member Functions | |
TimeGrid | timeGrid () const |
boost::shared_ptr < path_generator_type > | pathGenerator () const |
boost::shared_ptr < path_pricer_type > | pathPricer () const |
Protected Attributes | |
boost::shared_ptr < GeneralizedBlackScholesProcess > | process_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |