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

Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCAmericanEngine< RNG, S >
American Monte Carlo engine.
References:
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature
Public Member Functions | |
MCAmericanEngine (Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >()) | |
Protected Member Functions | |
boost::shared_ptr< LongstaffSchwartzPathPricer< Path > > | lsmPathPricer () const |
Real | controlVariateValue () const |
boost::shared_ptr< PricingEngine > | controlPricingEngine () const |
boost::shared_ptr< PathPricer< Path > > | controlPathPricer () const |