MCPerformanceEngine Class Template Reference

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

#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

Inheritance diagram for MCPerformanceEngine:

List of all members.

Public Types

typedef McSimulation
< SingleVariate, RNG, S >
::path_generator_type 
path_generator_type
typedef McSimulation
< SingleVariate, RNG, S >
::path_pricer_type 
path_pricer_type
typedef McSimulation
< SingleVariate, RNG, S >
::stats_type 
stats_type

Public Member Functions

 MCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, 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
< GeneralizedBlackScholesProcess
process_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_


Detailed Description

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

Pricing engine for performance options using Monte Carlo simulation.