1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: McSimulation Class Template Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a></div>
<h1>McSimulation Class Template Reference</h1><!-- doxytag: class="QuantLib::McSimulation" --><code>#include <ql/PricingEngines/mcsimulation.hpp></code>
<p>
Inheritance diagram for McSimulation:<p><center><img src="class_quant_lib_1_1_mc_simulation__inherit__graph.png" border="0" usemap="#_mc_simulation__inherit__map" alt="Inheritance graph"></center>
<map name="_mc_simulation__inherit__map">
<area href="class_quant_lib_1_1_m_c_barrier_engine.html" shape="rect" coords="307,13,709,37" alt="">
<area href="class_quant_lib_1_1_m_c_basket_engine.html" shape="rect" coords="311,61,705,85" alt="">
<area href="class_quant_lib_1_1_m_c_discrete_averaging_asian_engine.html" shape="rect" coords="249,109,767,133" alt="">
<area href="class_quant_lib_1_1_m_c_hull_white_cap_floor_engine.html" shape="rect" coords="267,157,749,181" alt="">
<area href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" shape="rect" coords="367,205,649,229" alt="">
<area href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" shape="rect" coords="168,253,848,277" alt="">
<area href="class_quant_lib_1_1_m_c_vanilla_engine.html" shape="rect" coords="407,301,609,325" alt="">
<area href="class_quant_lib_1_1_m_c_variance_swap_engine.html" shape="rect" coords="283,349,733,373" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_mc_simulation-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class MC, class S = Statistics><br>
class QuantLib::McSimulation< MC, S ></h3>
base class for Monte Carlo engines
<p>
Eventually this class might offer greeks methods. Deriving a class from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a> gives an easy way to write a Monte Carlo engine.<p>
See McVanillaEngine as an example.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dd8b7d32c399b0ade8fccac2753af95d"></a><!-- doxytag: member="QuantLib::McSimulation::path_generator_type" ref="dd8b7d32c399b0ade8fccac2753af95d" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC,<br>
S >::path_generator_type </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="51b61fcbf010ea1f17c932092f0ede78"></a><!-- doxytag: member="QuantLib::McSimulation::path_pricer_type" ref="51b61fcbf010ea1f17c932092f0ede78" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC,<br>
S >::path_pricer_type </td><td class="memItemRight" valign="bottom"><b>path_pricer_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="94f0296e1af41d995e0f72ce5e997ae4"></a><!-- doxytag: member="QuantLib::McSimulation::stats_type" ref="94f0296e1af41d995e0f72ce5e997ae4" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC,<br>
S >::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="efb644d627928b43e12d6fb530249594"></a><!-- doxytag: member="QuantLib::McSimulation::value" ref="efb644d627928b43e12d6fb530249594" args="(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#efb644d627928b43e12d6fb530249594">value</a> (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">add samples until the required absolute tolerance is reached <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af5d1d3b621e3b52cb90c0ffb874c122"></a><!-- doxytag: member="QuantLib::McSimulation::valueWithSamples" ref="af5d1d3b621e3b52cb90c0ffb874c122" args="(Size samples) const " -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#af5d1d3b621e3b52cb90c0ffb874c122">valueWithSamples</a> (Size samples) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">simulate a fixed number of samples <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7f7b2ee66cf1eca0aecb6f1e65549798"></a><!-- doxytag: member="QuantLib::McSimulation::errorEstimate" ref="7f7b2ee66cf1eca0aecb6f1e65549798" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#7f7b2ee66cf1eca0aecb6f1e65549798">errorEstimate</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">error estimated using the samples simulated so far <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ae431188883fbe6c0a459e0922e667e7"></a><!-- doxytag: member="QuantLib::McSimulation::sampleAccumulator" ref="ae431188883fbe6c0a459e0922e667e7" args="(void) const" -->
const stats_type & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#ae431188883fbe6c0a459e0922e667e7">sampleAccumulator</a> (void) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">access to the sample accumulator for richer statistics <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d5f42177fb934aa1898abe8120e7d8dc"></a><!-- doxytag: member="QuantLib::McSimulation::calculate" ref="d5f42177fb934aa1898abe8120e7d8dc" args="(Real requiredTolerance, Size requiredSamples, Size maxSamples) const" -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#d5f42177fb934aa1898abe8120e7d8dc">calculate</a> (Real requiredTolerance, Size requiredSamples, Size maxSamples) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">basic calculate method provided to inherited pricing engines <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b494776b2804de3802deefd3b35e2503"></a><!-- doxytag: member="QuantLib::McSimulation::McSimulation" ref="b494776b2804de3802deefd3b35e2503" args="(bool antitheticVariate, bool controlVariate)" -->
</td><td class="memItemRight" valign="bottom"><b>McSimulation</b> (bool antitheticVariate, bool controlVariate)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3da1a364eada8736f8c5572cb5530c32"></a><!-- doxytag: member="QuantLib::McSimulation::pathPricer" ref="3da1a364eada8736f8c5572cb5530c32" args="() const=0" -->
virtual boost::shared_ptr<<br>
path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a42d0d7e3ecfaf2babf23f5b2a143bde"></a><!-- doxytag: member="QuantLib::McSimulation::pathGenerator" ref="a42d0d7e3ecfaf2babf23f5b2a143bde" args="() const=0" -->
virtual boost::shared_ptr<<br>
path_generator_type > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fefda0d441664c6e35dc9f6ea9d40486"></a><!-- doxytag: member="QuantLib::McSimulation::timeGrid" ref="fefda0d441664c6e35dc9f6ea9d40486" args="() const=0" -->
virtual <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="716177334611bbf47c511d20d64db66e"></a><!-- doxytag: member="QuantLib::McSimulation::controlPathPricer" ref="716177334611bbf47c511d20d64db66e" args="() const" -->
virtual boost::shared_ptr<<br>
path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>controlPathPricer</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff747be777ea28ada3ca195a485eb437"></a><!-- doxytag: member="QuantLib::McSimulation::controlPricingEngine" ref="ff747be777ea28ada3ca195a485eb437" args="() const" -->
virtual boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > </td><td class="memItemRight" valign="bottom"><b>controlPricingEngine</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf8c7b7772d00fbb54bddf321b9cee10"></a><!-- doxytag: member="QuantLib::McSimulation::controlVariateValue" ref="bf8c7b7772d00fbb54bddf321b9cee10" args="() const" -->
virtual Real </td><td class="memItemRight" valign="bottom"><b>controlVariateValue</b> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3f111449f62c45083e2b87563f70a4a2"></a><!-- doxytag: member="QuantLib::McSimulation::mcModel_" ref="3f111449f62c45083e2b87563f70a4a2" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a><<br>
MC, S > > </td><td class="memItemRight" valign="bottom"><b>mcModel_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3f79786890b8283d011bf31f3b325311"></a><!-- doxytag: member="QuantLib::McSimulation::antitheticVariate_" ref="3f79786890b8283d011bf31f3b325311" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>antitheticVariate_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1c27fd78e44f207125a15990d39ad4f5"></a><!-- doxytag: member="QuantLib::McSimulation::controlVariate_" ref="1c27fd78e44f207125a15990d39ad4f5" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>controlVariate_</b></td></tr>
</table>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
