MonteCarloModel Class Template Reference
[Monte Carlo framework]
#include <ql/methods/montecarlo/montecarlomodel.hpp>
Detailed Description
template<template< class > class MC, class RNG, class S = Statistics>
class QuantLib::MonteCarloModel< MC, RNG, S >
General-purpose Monte Carlo model for path samples.
The template arguments of this class correspond to available policies for the particular model to be instantiated---i.e., whether it is single- or multi-asset, or whether it should use pseudo-random or low-discrepancy numbers for path generation. Such decisions are grouped in trait classes so as to be orthogonal---see mctraits.hpp for examples.
The constructor accepts two safe references, i.e. two smart pointers, one to a path generator and the other to a path pricer. In case of control variate technique the user should provide the additional control option, namely the option path pricer and the option value.
- Examples: