- QuantLib
- MCEuropeanBasketEngine
Pricing engine for European basket options using Monte Carlo simulation. More...
#include <ql/pricingengines/basket/mceuropeanbasketengine.hpp>
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 | |
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 |
Protected Member Functions | |
TimeGrid | timeGrid () const |
boost::shared_ptr < path_generator_type > | pathGenerator () const |
boost::shared_ptr < path_pricer_type > | pathPricer () const |
Protected Attributes | |
boost::shared_ptr < StochasticProcessArray > | processes_ |
Size | timeSteps_ |
Size | timeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |
Pricing engine for European basket options using Monte Carlo simulation.