MCHullWhiteCapFloorEngine< RNG, S > Class Template Reference

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

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

Inheritance diagram for MCHullWhiteCapFloorEngine< RNG, S >:

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 Types inherited from McSimulation< SingleVariate, RNG, S >
typedef MonteCarloModel
< SingleVariate, RNG, S >
::path_generator_type 
path_generator_type
 
typedef MonteCarloModel
< SingleVariate, RNG, S >
::path_pricer_type 
path_pricer_type
 
typedef MonteCarloModel
< SingleVariate, RNG, S >
::stats_type 
stats_type
 
typedef MonteCarloModel
< SingleVariate, RNG, S >
::result_type 
result_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
 
- Public Member Functions inherited from McSimulation< SingleVariate, RNG, S >
result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
 add samples until the required absolute tolerance is reached
 
result_type valueWithSamples (Size samples) const
 simulate a fixed number of samples
 
result_type errorEstimate () const
 error estimated using the samples simulated so far
 
const stats_type & sampleAccumulator (void) const
 access to the sample accumulator for richer statistics
 
void calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
 basic calculate method provided to inherited pricing engines
 

Protected Member Functions

boost::shared_ptr
< path_pricer_type
pathPricer () const
 
TimeGrid timeGrid () const
 
boost::shared_ptr
< path_generator_type
pathGenerator () const
 
- Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual boost::shared_ptr
< path_pricer_type
controlPathPricer () const
 
virtual boost::shared_ptr
< path_generator_type
controlPathGenerator () const
 
virtual boost::shared_ptr
< PricingEngine
controlPricingEngine () const
 
virtual result_type controlVariateValue () const
 

Additional Inherited Members

- Static Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
static Real maxError (const Sequence &sequence)
 
static Real maxError (Real error)
 
- Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments arguments_
 
CapFloor::results results_
 
- Protected Attributes inherited from McSimulation< SingleVariate, RNG, S >
boost::shared_ptr
< MonteCarloModel
< SingleVariate, RNG, S > > 
mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Detailed Description

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

Monte Carlo Hull-White engine for cap/floors.