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MCVanillaEngine Class Template Reference |
Public Member Functions | |
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 | |
MCVanillaEngine (Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
boost::shared_ptr< path_generator_type > | pathGenerator () const |
Real | controlVariateValue () const |
Protected Attributes | |
Size | maxTimeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |
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