Monte Carlo framework
Detailed Description
This framework (corresponding to the ql/MonteCarlo directory) contains basic building blocks for Monte Carlo simulations.
Classes | |
class | BrownianBridge |
Builds Wiener process paths using Gaussian variates. More... | |
class | EarlyExercisePathPricer |
base class for early exercise path pricers More... | |
class | LongstaffSchwartzPathPricer |
Longstaff-Schwarz path pricer for early exercise options. More... | |
class | MonteCarloModel |
General-purpose Monte Carlo model for path samples. More... | |
class | MultiPath |
Correlated multiple asset paths. More... | |
class | MultiPathGenerator |
Generates a multipath from a random number generator. More... | |
class | Path |
single-factor random walk More... | |
class | PathGenerator |
Generates random paths using a sequence generator. More... | |
class | PathPricer |
base class for path pricers More... | |
struct | Sample |
weighted sample More... |