MCBasketEngine Class Template Reference
[Basket option engines]
#include <ql/pricingengines/basket/mcbasketengine.hpp>
Inheritance diagram for MCBasketEngine:

Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCBasketEngine< RNG, S >
Pricing engine for basket options using Monte Carlo simulation.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.
Public Types | |
typedef McSimulation< MultiVariate, RNG, S >::path_generator_type | path_generator_type |
typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type | path_pricer_type |
typedef McSimulation< MultiVariate, RNG, S >::stats_type | stats_type |
Public Member Functions | |
MCBasketEngine (Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
void | calculate () const |
Protected Member Functions | |
TimeGrid | timeGrid () const |
boost::shared_ptr< path_generator_type > | pathGenerator () const |
boost::shared_ptr< path_pricer_type > | pathPricer () const |
Protected Attributes | |
Size | maxTimeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |