MCEuropeanEngine Class Template Reference
[Vanilla option engines]

#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>

Inheritance diagram for MCEuropeanEngine:

Inheritance graph
[legend]
List of all members.

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