MCPathBasketEngine Class Template Reference

Pricing engine for path dependent basket options using Monte Carlo simulation. More...

#include <ql/experimental/mcbasket/mcpathbasketengine.hpp>

Inheritance diagram for MCPathBasketEngine:

List of all members.

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

 MCPathBasketEngine (Size timeSteps, 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 timeSteps_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_


Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCPathBasketEngine< RNG, S >

Pricing engine for path dependent basket options using Monte Carlo simulation.