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...