- QuantLib
- MCEuropeanEngine
European option pricing engine using Monte Carlo simulation. More...
#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>
Public Types | |
typedef MCVanillaEngine < SingleVariate, RNG, S > ::path_generator_type | path_generator_type |
typedef MCVanillaEngine < SingleVariate, RNG, S > ::path_pricer_type | path_pricer_type |
typedef MCVanillaEngine < SingleVariate, RNG, S > ::stats_type | stats_type |
Public Member Functions | |
MCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
Protected Member Functions | |
boost::shared_ptr < path_pricer_type > | pathPricer () const |
European option pricing engine using Monte Carlo simulation.