Monte Carlo framework

Classes

class  LongstaffSchwartzMultiPathPricer
 Longstaff-Schwarz path pricer for early exercise options. More...
class  BrownianBridge
 Builds Wiener process paths using Gaussian variates. More...
class  EarlyExercisePathPricer< PathType, TimeType, ValueType >
 base class for early exercise path pricers More...
class  LongstaffSchwartzPathPricer< PathType >
 Longstaff-Schwarz path pricer for early exercise options. More...
class  MonteCarloModel< MC, RNG, S >
 General-purpose Monte Carlo model for path samples. More...
class  MultiPath
 Correlated multiple asset paths. More...
class  MultiPathGenerator< GSG >
 Generates a multipath from a random number generator. More...
class  Path
 single-factor random walk More...
class  PathGenerator< GSG >
 Generates random paths using a sequence generator. More...
class  PathPricer< PathType, ValueType >
 base class for path pricers More...
struct  Sample< T >
 weighted sample More...

Detailed Description

This framework (corresponding to the ql/MonteCarlo directory) contains basic building blocks for Monte Carlo simulations.