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QuantLib_MCPagodaEngine
Langue: en
Version: 158985 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCPagodaEngine - Pricing engine for pagoda options using Monte Carlo simulation.SYNOPSIS
#include <ql/pricingengines/basket/mcpagodaengine.hpp>
Inherits QuantLib::PagodaOption::engine, and McSimulation< MultiVariate, RNG, S >.
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, bool controlVariate, 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.Author
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