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<title>MCAmericanEngine< RNG, S > Class Template Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_m_c_american_engine.html">MCAmericanEngine</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">MCAmericanEngine< RNG, S > Class Template Reference<div class="ingroups"><a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::MCAmericanEngine" --><!-- doxytag: inherits="MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >" -->
<p>American Monte Carlo engine.
<a href="class_quant_lib_1_1_m_c_american_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/mcamericanengine.hpp></code></p>
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Inheritance diagram for MCAmericanEngine< RNG, S >:</div>
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<div class="center"><img src="class_quant_lib_1_1_m_c_american_engine__inherit__graph.png" border="0" usemap="#_m_c_american_engine_3_01_r_n_g_00_01_s_01_4_inherit__map" alt="Inheritance graph"/></div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="MCLongstaffSchwartzEngine\< VanillaOption::engine, SingleVariate, RNG, S \>" alt="" coords="5,6,475,37"/></map>
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<p><a href="class_quant_lib_1_1_m_c_american_engine-members.html">List of all members.</a></p>
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<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a73454652e68770cb5adb2437251cc002"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::MCAmericanEngine" ref="a73454652e68770cb5adb2437251cc002" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >())" -->
 </td><td class="memItemRight" valign="bottom"><b>MCAmericanEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeStepsPerYear, bool antitheticVariate, bool controlVariate, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples, BigNatural seed, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> polynomOrder, LsmBasisSystem::PolynomType polynomType, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nCalibrationSamples=Null< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a28490b0f4cbe9f020578b2ad6faf5f8c"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::lsmPathPricer" ref="a28490b0f4cbe9f020578b2ad6faf5f8c" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html">LongstaffSchwartzPathPricer</a><br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path.html">Path</a> > > </td><td class="memItemRight" valign="bottom"><b>lsmPathPricer</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad5c5ffde51addfb8f88acd05c399f2d0"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::controlVariateValue" ref="ad5c5ffde51addfb8f88acd05c399f2d0" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>controlVariateValue</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af61fdbcba806374bb7c665457899eec9"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::controlPricingEngine" ref="af61fdbcba806374bb7c665457899eec9" args="() const " -->
boost::shared_ptr< <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" align="right" valign="top"><a class="anchor" id="a09bb730e4146907f6dd918878128a31f"></a><!-- doxytag: member="QuantLib::MCAmericanEngine::controlPathPricer" ref="a09bb730e4146907f6dd918878128a31f" args="() const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_path_pricer.html">PathPricer</a><br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path.html">Path</a> > > </td><td class="memItemRight" valign="bottom"><b>controlPathPricer</b> () const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class RNG = PseudoRandom, class S = Statistics><br/>
class QuantLib::MCAmericanEngine< RNG, S ></h3>
<p>American Monte Carlo engine. </p>
<p>References:</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000132">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
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