MCEuropeanEngine Class Template Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>
Inheritance diagram for MCEuropeanEngine:

Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCEuropeanEngine< RNG, S >
European option pricing engine using Monte Carlo simulation.
- Tests:
- the correctness of the returned value is tested by checking it against analytic results.
Public Types | |
typedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type | path_generator_type |
typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type | path_pricer_type |
typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type | stats_type |
Public Member Functions | |
MCEuropeanEngine (Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
Protected Member Functions | |
boost::shared_ptr< path_pricer_type > | pathPricer () const |