QuantLib_MCAmericanPathEngine

Langue: en

Version: 378683 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MCAmericanPathEngine -

least-square Monte Carlo engine

SYNOPSIS


#include <ql/experimental/mcbasket/mcamericanpathengine.hpp>

Inherits MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, RNG >.

Public Member Functions


MCAmericanPathEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >())

Protected Member Functions


boost::shared_ptr< LongstaffSchwartzMultiPathPricer > lsmPathPricer () const

Detailed Description

template<class RNG = PseudoRandom> class QuantLib::MCAmericanPathEngine< RNG >

least-square Monte Carlo engine

Warning

This method is intrinsically weak for out-of-the-money options.

Author

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