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
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>MCEuropeanBasketEngine< RNG, S > 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="185" height="50" 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 1.2</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="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="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="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_m_c_european_basket_engine.html">MCEuropeanBasketEngine</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-types">Public Types</a> |
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> </div>
<div class="headertitle">
<div class="title">MCEuropeanBasketEngine< RNG, S > Class Template Reference<div class="ingroups"><a class="el" href="group__basketengines.html">Basket option engines</a></div></div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::MCEuropeanBasketEngine" --><!-- doxytag: inherits="QuantLib::BasketOption::engine,McSimulation< MultiVariate, RNG, S >" -->
<p>Pricing engine for European basket options using Monte Carlo simulation.
<a href="class_quant_lib_1_1_m_c_european_basket_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/basket/mceuropeanbasketengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for MCEuropeanBasketEngine< RNG, S >:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_m_c_european_basket_engine__inherit__graph.png" border="0" usemap="#_m_c_european_basket_engine_3_01_r_n_g_00_01_s_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_m_c_european_basket_engine_3_01_r_n_g_00_01_s_01_4_inherit__map" id="_m_c_european_basket_engine_3_01_r_n_g_00_01_s_01_4_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_basket_option_1_1engine.html" title="Basket-option engine base class" alt="" coords="11,6,69,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_mc_simulation.html" title="McSimulation\< MultiVariate, RNG, S \>" alt="" coords="93,6,339,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_m_c_european_basket_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a97d0a464c09dfbac519dd3c4ed297523"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::path_generator_type" ref="a97d0a464c09dfbac519dd3c4ed297523" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br class="typebreak"/>
< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, RNG, S ><br class="typebreak"/>
::path_generator_type </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6a9d35263b41b36b002797dde605d942"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::path_pricer_type" ref="a6a9d35263b41b36b002797dde605d942" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br class="typebreak"/>
< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, RNG, S ><br class="typebreak"/>
::path_pricer_type </td><td class="memItemRight" valign="bottom"><b>path_pricer_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a931267be1997474da010eacc9e911b29"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::stats_type" ref="a931267be1997474da010eacc9e911b29" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br class="typebreak"/>
< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, RNG, S ><br class="typebreak"/>
::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<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="a3421a65be40303cce916f93f3a706038"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::MCEuropeanBasketEngine" ref="a3421a65be40303cce916f93f3a706038" args="(const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)" -->
 </td><td class="memItemRight" valign="bottom"><b>MCEuropeanBasketEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html">StochasticProcessArray</a> > &, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeStepsPerYear, bool brownianBridge, bool antitheticVariate, <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)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::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="aac0bc663d50bdc0fd6771bb1ad2481e5"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::timeGrid" ref="aac0bc663d50bdc0fd6771bb1ad2481e5" 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" align="right" valign="top"><a class="anchor" id="a7751aec86337c68f4b4ee807247f5648"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::pathGenerator" ref="a7751aec86337c68f4b4ee807247f5648" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< path_generator_type > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4a0999895df5e5426053e8d53531ec90"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::pathPricer" ref="a4a0999895df5e5426053e8d53531ec90" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44461bbe7cf3adc237d74f325e7f68e2"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::processes_" ref="a44461bbe7cf3adc237d74f325e7f68e2" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html">StochasticProcessArray</a> > </td><td class="memItemRight" valign="bottom"><b>processes_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a02b035f6fcde4fb3cc9964c0518964ae"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::timeSteps_" ref="a02b035f6fcde4fb3cc9964c0518964ae" args="" -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9c25c7000e01433677e04eae138ff831"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::timeStepsPerYear_" ref="a9c25c7000e01433677e04eae138ff831" args="" -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeStepsPerYear_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a937ea3e2dae694ac2df5226b1b349b22"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::requiredSamples_" ref="a937ea3e2dae694ac2df5226b1b349b22" args="" -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>requiredSamples_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae92c9f4ec24db42ea6eceb5919e9dea5"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::maxSamples_" ref="ae92c9f4ec24db42ea6eceb5919e9dea5" args="" -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>maxSamples_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa336fe20be7a7fe0b17df1565bbc2f1a"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::requiredTolerance_" ref="aa336fe20be7a7fe0b17df1565bbc2f1a" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a237ba632601944316deef578c245e825"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::brownianBridge_" ref="a237ba632601944316deef578c245e825" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a654936ea7a7e268c1d02b452e80c7fdb"></a><!-- doxytag: member="QuantLib::MCEuropeanBasketEngine::seed_" ref="a654936ea7a7e268c1d02b452e80c7fdb" args="" -->
BigNatural </td><td class="memItemRight" valign="bottom"><b>seed_</b></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::MCEuropeanBasketEngine< RNG, S ></h3>
<p>Pricing engine for European basket options using Monte Carlo simulation. </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000097">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in literature. </dd></dl>
</div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
