MCPagodaEngine< RNG, S > Class Template Reference

Pricing engine for pagoda options using Monte Carlo simulation. More...

#include <ql/experimental/exoticoptions/mcpagodaengine.hpp>

Inheritance diagram for MCPagodaEngine< RNG, S >:

List of all members.

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, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void calculate () const

Detailed Description

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

Pricing engine for pagoda options using Monte Carlo simulation.