MCHullWhiteCapFloorEngine Class Template Reference
[Cap/floor engines]
#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>
Inheritance diagram for MCHullWhiteCapFloorEngine:

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.