MCHestonEngine Class Template Reference
[Vanilla option engines]

#include <ql/PricingEngines/Vanilla/mchestonengine.hpp>

Inheritance diagram for MCHestonEngine:

Inheritance graph
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List of all members.

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCHestonEngine< RNG, S >

Monte Carlo Heston-model engine.


Public Member Functions

void calculate () const

Protected Types

typedef McSimulation< MultiVariate<
RNG >, S >::path_generator_type 
path_generator_type
typedef McSimulation< MultiVariate<
RNG >, S >::path_pricer_type 
path_pricer_type
typedef McSimulation< MultiVariate<
RNG >, S >::stats_type 
stats_type

Protected Member Functions

 MCHestonEngine (Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
TimeGrid timeGrid () const
boost::shared_ptr< path_generator_type > pathGenerator () const

Protected Attributes

Size timeSteps_
Size timeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_


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