MCHullWhiteCapFloorEngine Class Template Reference
[Cap/floor engines]

#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

Inheritance diagram for MCHullWhiteCapFloorEngine:

Inheritance graph
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List of all members.

Detailed Description

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

Monte Carlo Hull-White engine for cap/floors.


Public Types

typedef simulation::path_generator_type path_generator_type
typedef simulation::path_pricer_type path_pricer_type
typedef simulation::stats_type stats_type

Public Member Functions

 MCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void calculate () const
void update ()

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const
TimeGrid timeGrid () const
boost::shared_ptr< path_generator_type > pathGenerator () const


Member Function Documentation

void update (  )  [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.