MCBasketEngine Class Template Reference
[Basket option engines]

#include <ql/pricingengines/basket/mcbasketengine.hpp>

Inheritance diagram for MCBasketEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

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

Pricing engine for basket options using Monte Carlo simulation.

Tests:
the correctness of the returned value is tested by reproducing results available in literature.


Public 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

Public Member Functions

 MCBasketEngine (Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, 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

Size maxTimeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_