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<title>QuantLib: MCVanillaEngine Class Template Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</a></div>
<h1>MCVanillaEngine Class Template Reference<br>
<small>
[<a class="el" href="group__vanillaengines.html">Vanilla option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::MCVanillaEngine" --><!-- doxytag: inherits="Inst::engine,QuantLib::McSimulation" --><code>#include <ql/pricingengines/vanilla/mcvanillaengine.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for MCVanillaEngine:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_m_c_vanilla_engine__inherit__graph.png" border="0" usemap="#_m_c_vanilla_engine__inherit__map" alt="Inheritance graph"></center>
<map name="_m_c_vanilla_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_m_c_digital_engine.html" title="Pricing engine for digital options using Monte Carlo simulation." alt="" coords="476,5,900,32"><area shape="rect" href="class_quant_lib_1_1_m_c_european_engine.html" title="European option pricing engine using Monte Carlo simulation." alt="" coords="465,56,911,83"><area shape="rect" href="class_quant_lib_1_1_m_c_european_heston_engine.html" title="Monte Carlo Heston-model engine for European options." alt="" coords="445,107,931,133"><area shape="rect" href="class_quant_lib_1_1_mc_simulation.html" title="base class for Monte Carlo engines" alt="" coords="5,56,221,83"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_m_c_vanilla_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<template< class > class MC, class RNG, class S = Statistics, class Inst = VanillaOption><br>
class QuantLib::MCVanillaEngine< MC, RNG, S, Inst ></h3>
Pricing engine for vanilla options using Monte Carlo simulation.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></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="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::calculate" ref="10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2e301ff1e9761ffd43e2e8a626d5ae90"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::path_generator_type" ref="2e301ff1e9761ffd43e2e8a626d5ae90" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG,<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="7922dd7fea2c004ef3dc817d274cfe84"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::path_pricer_type" ref="7922dd7fea2c004ef3dc817d274cfe84" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG,<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="9e8c6745d46fec52af674b05ce5b75d7"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::stats_type" ref="9e8c6745d46fec52af674b05ce5b75d7" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG,<br>
S >::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="07e1e84bbe02891bd31885fe3fc4c181"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::result_type" ref="07e1e84bbe02891bd31885fe3fc4c181" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG,<br>
S >::result_type </td><td class="memItemRight" valign="bottom"><b>result_type</b></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="3d11eebbcfadb9a90ca661cd0bac2b4e"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::MCVanillaEngine" ref="3d11eebbcfadb9a90ca661cd0bac2b4e" args="(const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)" -->
</td><td class="memItemRight" valign="bottom"><b>MCVanillaEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > &, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples, <a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> seed)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac0bc663d50bdc0fd6771bb1ad2481e5"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::timeGrid" ref="ac0bc663d50bdc0fd6771bb1ad2481e5" args="() const " -->
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7751aec86337c68f4b4ee807247f5648"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::pathGenerator" ref="7751aec86337c68f4b4ee807247f5648" args="() const " -->
boost::shared_ptr<br>
< path_generator_type > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1d5fe32e9a013aec098bba40e63bc37"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::controlVariateValue" ref="d1d5fe32e9a013aec098bba40e63bc37" args="() const " -->
result_type </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="a94312a20d5fdd30808a9c44fea1c986"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::process_" ref="a94312a20d5fdd30808a9c44fea1c986" args="" -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="02b035f6fcde4fb3cc9964c0518964ae"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::timeSteps_" ref="02b035f6fcde4fb3cc9964c0518964ae" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9c25c7000e01433677e04eae138ff831"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::timeStepsPerYear_" ref="9c25c7000e01433677e04eae138ff831" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeStepsPerYear_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="937ea3e2dae694ac2df5226b1b349b22"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::requiredSamples_" ref="937ea3e2dae694ac2df5226b1b349b22" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>requiredSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e92c9f4ec24db42ea6eceb5919e9dea5"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::maxSamples_" ref="e92c9f4ec24db42ea6eceb5919e9dea5" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>maxSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a336fe20be7a7fe0b17df1565bbc2f1a"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::requiredTolerance_" ref="a336fe20be7a7fe0b17df1565bbc2f1a" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="237ba632601944316deef578c245e825"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::brownianBridge_" ref="237ba632601944316deef578c245e825" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="654936ea7a7e268c1d02b452e80c7fdb"></a><!-- doxytag: member="QuantLib::MCVanillaEngine::seed_" ref="654936ea7a7e268c1d02b452e80c7fdb" args="" -->
<a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> </td><td class="memItemRight" valign="bottom"><b>seed_</b></td></tr>
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