base class for Monte Carlo engines More...

#include <ql/pricingengines/mcsimulation.hpp>

Public Types
typedef MonteCarloModel< MC, RNG, S >::path_generator_type	path_generator_type

typedef MonteCarloModel< MC, RNG, S >::path_pricer_type	path_pricer_type

typedef MonteCarloModel< MC, RNG, S >::stats_type	stats_type

typedef MonteCarloModel< MC, RNG, S >::result_type	result_type

Public Member Functions
result_type	value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
	add samples until the required absolute tolerance is reached

result_type	valueWithSamples (Size samples) const
	simulate a fixed number of samples

result_type	errorEstimate () const
	error estimated using the samples simulated so far

const stats_type &	sampleAccumulator () const
	access to the sample accumulator for richer statistics

void	calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
	basic calculate method provided to inherited pricing engines

Protected Member Functions
	McSimulation (bool antitheticVariate, bool controlVariate)

virtual ext::shared_ptr< path_pricer_type >	pathPricer () const =0

virtual ext::shared_ptr< path_generator_type >	pathGenerator () const =0

virtual TimeGrid	timeGrid () const =0

virtual ext::shared_ptr< path_pricer_type >	controlPathPricer () const

virtual ext::shared_ptr< path_generator_type >	controlPathGenerator () const

virtual ext::shared_ptr< PricingEngine >	controlPricingEngine () const

virtual result_type	controlVariateValue () const

Static Protected Member Functions
template<class Sequence >
static Real	maxError (const Sequence &sequence)

static Real	maxError (Real error)

Protected Attributes
ext::shared_ptr< MonteCarloModel< MC, RNG, S > >	mcModel_

bool	antitheticVariate_

bool	controlVariate_

Detailed Description

base class for Monte Carlo engines

Eventually this class might offer greeks methods. Deriving a class from McSimulation gives an easy way to write a Monte Carlo engine.

See McVanillaEngine as an example.

Public Types