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MCBarrierEngine Class Template Reference#include <ql/PricingEngines/Barrier/mcbarrierengine.hpp>
Inheritance diagram for MCBarrierEngine: ![]() Detailed Descriptiontemplate<class RNG = PseudoRandom, class S = Statistics>
Pricing engine for barrier options using Monte Carlo.
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Public Member Functions | |
MCBarrierEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< int >(), double requiredTolerance=Null< double >(), Size maxSamples=Null< int >(), bool isBiased=false, long seed=0) | |
void | calculate () const |
Protected Types | |
typedef McSimulation< SingleAsset< RNG >, S >::path_generator_type | path_generator_type |
typedef McSimulation< SingleAsset< RNG >, S >::path_pricer_type | path_pricer_type |
typedef McSimulation< SingleAsset< RNG >, S >::stats_type | stats_type |
Protected Member Functions | |
Handle< path_generator_type > | pathGenerator () const |
TimeGrid | timeGrid () const |
Handle< path_pricer_type > | pathPricer () const |
Protected Attributes | |
Size | maxTimeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
double | requiredTolerance_ |
bool | isBiased_ |
long | seed_ |
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