MCPagodaEngine Class Template Reference
Pricing engine for pagoda options using Monte Carlo simulation. More...
#include <ql/pricingengines/basket/mcpagodaengine.hpp>
Inheritance diagram for MCPagodaEngine:

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 | |
MCPagodaEngine (const boost::shared_ptr< StochasticProcessArray > &, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
void | calculate () const |