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<title>McSimulation< MC, 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>
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<div class="title">McSimulation< MC, RNG, S > Class Template Reference</div> </div>
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<!-- doxytag: class="QuantLib::McSimulation" -->
<p>base class for Monte Carlo engines
<a href="class_quant_lib_1_1_mc_simulation.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/mcsimulation.hpp></code></p>
<div class="dynheader">
Inheritance diagram for McSimulation< MC, RNG, S >:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_mc_simulation__inherit__graph.png" border="0" usemap="#_mc_simulation_3_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_mc_simulation_3_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map" id="_mc_simulation_3_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map">
<area shape="rect" id="node3" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="MCLongstaffSchwartzEngine\< BasketOption::engine, MultiVariate, RNG \>" alt="" coords="291,5,739,35"/><area shape="rect" id="node5" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="MCLongstaffSchwartzEngine\< VanillaOption::engine, SingleVariate, RNG, S \>" alt="" coords="280,58,749,89"/><area shape="rect" id="node7" href="class_quant_lib_1_1_m_c_longstaff_schwartz_path_engine.html" title="MCLongstaffSchwartzPathEngine\< PathMultiAssetOption::engine, MultiVariate, RNG \>" alt="" coords="255,111,775,142"/><area shape="rect" id="node9" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="MCVanillaEngine\< MultiVariate, RNG, S \>" alt="" coords="384,165,645,195"/><area shape="rect" id="node11" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="MCVanillaEngine\< SingleVariate, RNG, S \>" alt="" coords="380,218,649,249"/><area shape="rect" id="node13" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html" title="Longstaff-Schwarz Monte Carlo engine for early exercise options." alt="" coords="373,271,656,302"/><area shape="rect" id="node15" href="class_quant_lib_1_1_m_c_longstaff_schwartz_path_engine.html" title="Longstaff-Schwarz Monte Carlo engine for early exercise options." alt="" coords="360,325,669,355"/><area shape="rect" id="node17" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="Pricing engine for vanilla options using Monte Carlo simulation." alt="" coords="408,378,621,409"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_mc_simulation-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="a4e86ff468be75be1d9ec907a1af3818f"></a><!-- doxytag: member="QuantLib::McSimulation::path_generator_type" ref="a4e86ff468be75be1d9ec907a1af3818f" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, <br class="typebreak"/>
RNG, S >::<a class="el" href="class_quant_lib_1_1_path_generator.html">path_generator_type</a> </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="ae4588b42428cb979b0fad7369aef51a6"></a><!-- doxytag: member="QuantLib::McSimulation::path_pricer_type" ref="ae4588b42428cb979b0fad7369aef51a6" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, <br class="typebreak"/>
RNG, S >::<a class="el" href="class_quant_lib_1_1_path_pricer.html">path_pricer_type</a> </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="a38a0f2b84a876f1da1a5805922d8bb7b"></a><!-- doxytag: member="QuantLib::McSimulation::stats_type" ref="a38a0f2b84a876f1da1a5805922d8bb7b" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, <br class="typebreak"/>
RNG, S >::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a94aa31e474a79b56b5921e9b5e59090d"></a><!-- doxytag: member="QuantLib::McSimulation::result_type" ref="a94aa31e474a79b56b5921e9b5e59090d" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, <br class="typebreak"/>
RNG, S >::result_type </td><td class="memItemRight" valign="bottom"><b>result_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="af5af70b152b72f235dc275464058ef69"></a><!-- doxytag: member="QuantLib::McSimulation::value" ref="af5af70b152b72f235dc275464058ef69" 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#af5af70b152b72f235dc275464058ef69">value</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> tolerance, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples=<a class="el" href="group__limit_macros.html#gac49205214551771cf97efe9839ac6cb5">QL_MAX_INTEGER</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">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" align="right" valign="top"><a class="anchor" id="acabb99b71d14507ebd13797c9d904ffc"></a><!-- doxytag: member="QuantLib::McSimulation::valueWithSamples" ref="acabb99b71d14507ebd13797c9d904ffc" args="(Size samples) const " -->
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#acabb99b71d14507ebd13797c9d904ffc">valueWithSamples</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">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" align="right" valign="top"><a class="anchor" id="aedf5500bc16aadda7266e3d70e86102c"></a><!-- doxytag: member="QuantLib::McSimulation::errorEstimate" ref="aedf5500bc16aadda7266e3d70e86102c" args="() const " -->
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#aedf5500bc16aadda7266e3d70e86102c">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" align="right" valign="top"><a class="anchor" id="a97a9254d199bc4ea4a78d11eaf2d713d"></a><!-- doxytag: member="QuantLib::McSimulation::sampleAccumulator" ref="a97a9254d199bc4ea4a78d11eaf2d713d" args="(void) const " -->
const stats_type & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#a97a9254d199bc4ea4a78d11eaf2d713d">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" align="right" valign="top"><a class="anchor" id="a778f370c51e99a9f99dc8eb03cbe6140"></a><!-- doxytag: member="QuantLib::McSimulation::calculate" ref="a778f370c51e99a9f99dc8eb03cbe6140" 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#a778f370c51e99a9f99dc8eb03cbe6140">calculate</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">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"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab494776b2804de3802deefd3b35e2503"></a><!-- doxytag: member="QuantLib::McSimulation::McSimulation" ref="ab494776b2804de3802deefd3b35e2503" args="(bool antitheticVariate, bool controlVariate)" -->
 </td><td class="memItemRight" valign="bottom"><b>McSimulation</b> (bool antitheticVariate, bool controlVariate)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a365db6627d7db47cf842a9f816ab299b"></a><!-- doxytag: member="QuantLib::McSimulation::pathPricer" ref="a365db6627d7db47cf842a9f816ab299b" args="() const =0" -->
virtual boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path_pricer.html">path_pricer_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a014c4e8a7f294e9c447b3a7dec739596"></a><!-- doxytag: member="QuantLib::McSimulation::pathGenerator" ref="a014c4e8a7f294e9c447b3a7dec739596" args="() const =0" -->
virtual boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6ae51c5540a0f80f270a0f9a66eb6df3"></a><!-- doxytag: member="QuantLib::McSimulation::timeGrid" ref="a6ae51c5540a0f80f270a0f9a66eb6df3" 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" align="right" valign="top"><a class="anchor" id="a0f51bdda15eb669a6b73a9bfa1d5642e"></a><!-- doxytag: member="QuantLib::McSimulation::controlPathPricer" ref="a0f51bdda15eb669a6b73a9bfa1d5642e" args="() const " -->
virtual boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path_pricer.html">path_pricer_type</a> > </td><td class="memItemRight" valign="bottom"><b>controlPathPricer</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1042ecfdf238d90cef5634540387ee64"></a><!-- doxytag: member="QuantLib::McSimulation::controlPathGenerator" ref="a1042ecfdf238d90cef5634540387ee64" args="() const " -->
virtual boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>controlPathGenerator</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a14e616889c4ee17d7e4277952bf85ed0"></a><!-- doxytag: member="QuantLib::McSimulation::controlPricingEngine" ref="a14e616889c4ee17d7e4277952bf85ed0" args="() const " -->
virtual boost::shared_ptr<br class="typebreak"/>
< <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="adcaeed031f5385c78a0c1214e198b68c"></a><!-- doxytag: member="QuantLib::McSimulation::controlVariateValue" ref="adcaeed031f5385c78a0c1214e198b68c" args="() const " -->
virtual result_type </td><td class="memItemRight" valign="bottom"><b>controlVariateValue</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-static-methods"></a>
Static Protected Member Functions</h2></td></tr>
<tr><td class="memTemplParams" colspan="2"><a class="anchor" id="a6e88fa36deb63e5bf40cad0082068f57"></a><!-- doxytag: member="QuantLib::McSimulation::maxError" ref="a6e88fa36deb63e5bf40cad0082068f57" args="(const Sequence &sequence)" -->
template<class Sequence > </td></tr>
<tr><td class="memTemplItemLeft" align="right" valign="top">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memTemplItemRight" valign="bottom"><b>maxError</b> (const Sequence &sequence)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab8fcdfbea80f9ee9882c197655216b2d"></a><!-- doxytag: member="QuantLib::McSimulation::maxError" ref="ab8fcdfbea80f9ee9882c197655216b2d" args="(Real error)" -->
static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxError</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> error)</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="a578bfc5052dad419af0dafb920aff02d"></a><!-- doxytag: member="QuantLib::McSimulation::mcModel_" ref="a578bfc5052dad419af0dafb920aff02d" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="a3f79786890b8283d011bf31f3b325311"></a><!-- doxytag: member="QuantLib::McSimulation::antitheticVariate_" ref="a3f79786890b8283d011bf31f3b325311" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>antitheticVariate_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1c27fd78e44f207125a15990d39ad4f5"></a><!-- doxytag: member="QuantLib::McSimulation::controlVariate_" ref="a1c27fd78e44f207125a15990d39ad4f5" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>controlVariate_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<template< class > class MC, class RNG, class S = Statistics><br/>
class QuantLib::McSimulation< MC, RNG, S ></h3>
<p>base class for Monte Carlo engines </p>
<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>
<p>See McVanillaEngine as an example. </p>
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