MCEuropeanBasketEngine< RNG, S > Class Template Reference

Pricing engine for European basket options using Monte Carlo simulation. More...

#include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>

Inheritance diagram for MCEuropeanBasketEngine< RNG, S >:

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 Types inherited from McSimulation< MultiVariate, RNG, S >
typedef MonteCarloModel
< MultiVariate, RNG, S >
::path_generator_type 
path_generator_type
 
typedef MonteCarloModel
< MultiVariate, RNG, S >
::path_pricer_type 
path_pricer_type
 
typedef MonteCarloModel
< MultiVariate, RNG, S >
::stats_type 
stats_type
 
typedef MonteCarloModel
< MultiVariate, RNG, S >
::result_type 
result_type
 

Public Member Functions

 MCEuropeanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
 
void calculate () const
 
- Public Member Functions inherited from McSimulation< MultiVariate, 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

TimeGrid timeGrid () const
 
boost::shared_ptr
< path_generator_type > 
pathGenerator () const
 
boost::shared_ptr
< path_pricer_type > 
pathPricer () const
 
- Protected Member Functions inherited from McSimulation< MultiVariate, 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
 

Protected Attributes

boost::shared_ptr
< StochasticProcessArray
processes_
 
Size timeSteps_
 
Size timeStepsPerYear_
 
Size requiredSamples_
 
Size maxSamples_
 
Real requiredTolerance_
 
bool brownianBridge_
 
BigNatural seed_
 
- Protected Attributes inherited from McSimulation< MultiVariate, RNG, S >
boost::shared_ptr
< MonteCarloModel
< MultiVariate, RNG, S > > 
mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Additional Inherited Members

- Static Protected Member Functions inherited from McSimulation< MultiVariate, RNG, S >
static Real maxError (const Sequence &sequence)
 
static Real maxError (Real error)
 

Detailed Description

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

Pricing engine for European basket options using Monte Carlo simulation.

Tests:
the correctness of the returned value is tested by reproducing results available in literature.