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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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>
<div class="dynheader">
Inheritance diagram for McSimulation:</div>
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<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 shape="rect" href="class_quant_lib_1_1_m_c_barrier_engine.html" title="Pricing engine for barrier options using Monte Carlo simulation." alt="" coords="296,25,723,52"><area shape="rect" href="class_quant_lib_1_1_m_c_basket_engine.html" title="Pricing engine for basket options using Monte Carlo simulation." alt="" coords="300,76,719,103"><area shape="rect" href="class_quant_lib_1_1_m_c_discrete_averaging_asian_engine.html" title="Pricing engine for discrete average Asians using Monte Carlo simulation." alt="" coords="241,127,777,153"><area shape="rect" href="class_quant_lib_1_1_m_c_hull_white_cap_floor_engine.html" title="Monte Carlo Hull-White engine for cap/floors." alt="" coords="259,177,760,204"><area shape="rect" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="Longstaff-Schwarz Monte Carlo engine for early exercise options." alt="" coords="351,228,668,255"><area shape="rect" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="MCLongstaffSchwartzEngine\< QuantLib::BasketOption::engine, QuantLib::MultiVariate\< RNG \>, RNG \>" alt="" coords="163,279,856,305"><area shape="rect" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="MCLongstaffSchwartzEngine\< VanillaOption::engine, QuantLib::SingleVariate\< RNG \>, RNG, S \>" alt="" coords="185,329,833,356"><area shape="rect" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="Pricing engine for vanilla options using Monte Carlo simulation." alt="" coords="392,380,627,407"><area shape="rect" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="MCVanillaEngine\< QuantLib::MultiVariate\< RNG \>, RNG, S \>" alt="" coords="301,431,717,457"><area shape="rect" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="MCVanillaEngine\< QuantLib::SingleVariate\< RNG \>, RNG, S \>" alt="" coords="297,481,721,508"><area shape="rect" href="class_quant_lib_1_1_m_c_variance_swap_engine.html" title="Variance-swap pricing engine using Monte Carlo simulation,." alt="" coords="272,532,747,559"></map>
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<p>
<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<template< class > class MC, class RNG, class S = Statistics><br>
class QuantLib::McSimulation< MC, RNG, 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" title="base class for Monte Carlo engines">McSimulation</a> gives an easy way to write a Monte Carlo engine.<p>
See McVanillaEngine as an example. <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="4e86ff468be75be1d9ec907a1af3818f"></a><!-- doxytag: member="QuantLib::McSimulation::path_generator_type" ref="4e86ff468be75be1d9ec907a1af3818f" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC,<br>
RNG, 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="e4588b42428cb979b0fad7369aef51a6"></a><!-- doxytag: member="QuantLib::McSimulation::path_pricer_type" ref="e4588b42428cb979b0fad7369aef51a6" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC,<br>
RNG, 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="38a0f2b84a876f1da1a5805922d8bb7b"></a><!-- doxytag: member="QuantLib::McSimulation::stats_type" ref="38a0f2b84a876f1da1a5805922d8bb7b" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC,<br>
RNG, 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="94aa31e474a79b56b5921e9b5e59090d"></a><!-- doxytag: member="QuantLib::McSimulation::result_type" ref="94aa31e474a79b56b5921e9b5e59090d" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC,<br>
RNG, S >::result_type </td><td class="memItemRight" valign="bottom"><b>result_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="f5af70b152b72f235dc275464058ef69"></a><!-- doxytag: member="QuantLib::McSimulation::value" ref="f5af70b152b72f235dc275464058ef69" args="(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const " -->
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#f5af70b152b72f235dc275464058ef69">value</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> tolerance, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples=QL_MAX_INTEGER, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> 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="cabb99b71d14507ebd13797c9d904ffc"></a><!-- doxytag: member="QuantLib::McSimulation::valueWithSamples" ref="cabb99b71d14507ebd13797c9d904ffc" args="(Size samples) const " -->
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#cabb99b71d14507ebd13797c9d904ffc">valueWithSamples</a> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> 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="edf5500bc16aadda7266e3d70e86102c"></a><!-- doxytag: member="QuantLib::McSimulation::errorEstimate" ref="edf5500bc16aadda7266e3d70e86102c" args="() const " -->
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#edf5500bc16aadda7266e3d70e86102c">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="97a9254d199bc4ea4a78d11eaf2d713d"></a><!-- doxytag: member="QuantLib::McSimulation::sampleAccumulator" ref="97a9254d199bc4ea4a78d11eaf2d713d" args="(void) const " -->
const stats_type & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#97a9254d199bc4ea4a78d11eaf2d713d">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="778f370c51e99a9f99dc8eb03cbe6140"></a><!-- doxytag: member="QuantLib::McSimulation::calculate" ref="778f370c51e99a9f99dc8eb03cbe6140" 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#778f370c51e99a9f99dc8eb03cbe6140">calculate</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> 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="365db6627d7db47cf842a9f816ab299b"></a><!-- doxytag: member="QuantLib::McSimulation::pathPricer" ref="365db6627d7db47cf842a9f816ab299b" 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="014c4e8a7f294e9c447b3a7dec739596"></a><!-- doxytag: member="QuantLib::McSimulation::pathGenerator" ref="014c4e8a7f294e9c447b3a7dec739596" 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="6ae51c5540a0f80f270a0f9a66eb6df3"></a><!-- doxytag: member="QuantLib::McSimulation::timeGrid" ref="6ae51c5540a0f80f270a0f9a66eb6df3" 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="0f51bdda15eb669a6b73a9bfa1d5642e"></a><!-- doxytag: member="QuantLib::McSimulation::controlPathPricer" ref="0f51bdda15eb669a6b73a9bfa1d5642e" 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="14e616889c4ee17d7e4277952bf85ed0"></a><!-- doxytag: member="QuantLib::McSimulation::controlPricingEngine" ref="14e616889c4ee17d7e4277952bf85ed0" 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="dcaeed031f5385c78a0c1214e198b68c"></a><!-- doxytag: member="QuantLib::McSimulation::controlVariateValue" ref="dcaeed031f5385c78a0c1214e198b68c" args="() const " -->
virtual result_type </td><td class="memItemRight" valign="bottom"><b>controlVariateValue</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Static Protected Member Functions</h2></td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="3a733b1b47557db92771eead26aed771"></a><!-- doxytag: member="QuantLib::McSimulation::maxError" ref="3a733b1b47557db92771eead26aed771" args="(const Sequence &sequence)" -->
template<class Sequence> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">static <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memTemplItemRight" valign="bottom"><b>maxError</b> (const Sequence &sequence)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b8fcdfbea80f9ee9882c197655216b2d"></a><!-- doxytag: member="QuantLib::McSimulation::maxError" ref="b8fcdfbea80f9ee9882c197655216b2d" args="(Real error)" -->
static <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxError</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> error)</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="578bfc5052dad419af0dafb920aff02d"></a><!-- doxytag: member="QuantLib::McSimulation::mcModel_" ref="578bfc5052dad419af0dafb920aff02d" args="" -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, 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>
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