Monte Carlo GJR-GARCH-model engine for European options. More...
#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>
Public Types | |
typedef MCVanillaEngine < MultiVariate, RNG, S > ::path_pricer_type | path_pricer_type |
Public Member Functions | |
MCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
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void | calculate () const |
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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 |
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MCVanillaEngine (const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
TimeGrid | timeGrid () const |
boost::shared_ptr < path_generator_type > | pathGenerator () const |
result_type | controlVariateValue () const |
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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 |
Additional Inherited Members | |
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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 |
typedef McSimulation < MultiVariate, RNG, S > ::result_type | result_type |
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template<class Sequence > | |
static Real | maxError (const Sequence &sequence) |
static Real | maxError (Real error) |
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boost::shared_ptr < StochasticProcess > | process_ |
Size | timeSteps_ |
Size | timeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |
Monte Carlo GJR-GARCH-model engine for European options.