MCAmericanEngine Class Template Reference
[Vanilla option engines]

#include <ql/pricingengines/vanilla/mcamericanengine.hpp>

Inheritance diagram for MCAmericanEngine:

Inheritance graph
[legend]
List of all members.

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< PricingEnginecontrolPricingEngine () const
boost::shared_ptr< PathPricer<
Path > > 
controlPathPricer () const