MCHullWhiteCapFloorEngine Class Template Reference
[Cap/floor engines]

Monte Carlo Hull-White engine for cap/floors. More...

#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

Inheritance diagram for MCHullWhiteCapFloorEngine:

List of all members.

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

Protected Member Functions

boost::shared_ptr
< path_pricer_type
pathPricer () const
TimeGrid timeGrid () const
boost::shared_ptr
< path_generator_type
pathGenerator () const


Detailed Description

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

Monte Carlo Hull-White engine for cap/floors.