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<title>MCPerformanceEngine< RNG, S > Class Template Reference</title>
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<li class="navelem"><a class="el" href="class_quant_lib_1_1_m_c_performance_engine.html">MCPerformanceEngine</a> </li>
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<a href="#pub-types">Public Types</a> |
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<div class="title">MCPerformanceEngine< RNG, S > Class Template Reference</div> </div>
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<!-- doxytag: class="QuantLib::MCPerformanceEngine" --><!-- doxytag: inherits="QuantLib::CliquetOption::engine,McSimulation< SingleVariate, RNG, S >" -->
<p>Pricing engine for performance options using Monte Carlo simulation.
<a href="class_quant_lib_1_1_m_c_performance_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/cliquet/mcperformanceengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for MCPerformanceEngine< RNG, S >:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_m_c_performance_engine__inherit__graph.png" border="0" usemap="#_m_c_performance_engine_3_01_r_n_g_00_01_s_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_m_c_performance_engine_3_01_r_n_g_00_01_s_01_4_inherit__map" id="_m_c_performance_engine_3_01_r_n_g_00_01_s_01_4_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_cliquet_option_1_1engine.html" title="Cliquet engine base class." alt="" coords="5,6,64,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_mc_simulation.html" title="McSimulation\< SingleVariate, RNG, S \>" alt="" coords="88,6,341,37"/></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_performance_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="a0e4570ee9c204c900236c2894b387272"></a><!-- doxytag: member="QuantLib::MCPerformanceEngine::path_generator_type" ref="a0e4570ee9c204c900236c2894b387272" 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_single_variate.html">SingleVariate</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="ac66a3645a3daa15dae3801668ccdd6f3"></a><!-- doxytag: member="QuantLib::MCPerformanceEngine::path_pricer_type" ref="ac66a3645a3daa15dae3801668ccdd6f3" 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_single_variate.html">SingleVariate</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="a6488ee71b6b0a73fd160f892bba6cdbf"></a><!-- doxytag: member="QuantLib::MCPerformanceEngine::stats_type" ref="a6488ee71b6b0a73fd160f892bba6cdbf" 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_single_variate.html">SingleVariate</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="afc9c892f5fb8bfb89f5b8370a6e1702c"></a><!-- doxytag: member="QuantLib::MCPerformanceEngine::MCPerformanceEngine" ref="afc9c892f5fb8bfb89f5b8370a6e1702c" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)" -->
 </td><td class="memItemRight" valign="bottom"><b>MCPerformanceEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, 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::MCPerformanceEngine::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::MCPerformanceEngine::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::MCPerformanceEngine::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="ab962978414dd2fbaf03d80597aff7905"></a><!-- doxytag: member="QuantLib::MCPerformanceEngine::pathPricer" ref="ab962978414dd2fbaf03d80597aff7905" 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="a56894d395192aaae9970e5f03c5ad02f"></a><!-- doxytag: member="QuantLib::MCPerformanceEngine::process_" ref="a56894d395192aaae9970e5f03c5ad02f" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a937ea3e2dae694ac2df5226b1b349b22"></a><!-- doxytag: member="QuantLib::MCPerformanceEngine::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::MCPerformanceEngine::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::MCPerformanceEngine::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::MCPerformanceEngine::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::MCPerformanceEngine::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::MCPerformanceEngine< RNG, S ></h3>
<p>Pricing engine for performance options using Monte Carlo simulation. </p>
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