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<title>MonteCarloModel< MC, RNG, S > Class Template Reference</title>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a> </li>
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<a href="#pub-types">Public Types</a> |
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<div class="title">MonteCarloModel< MC, RNG, S > Class Template Reference<div class="ingroups"><a class="el" href="group__mcarlo.html">Monte Carlo framework</a></div></div> </div>
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<!-- doxytag: class="QuantLib::MonteCarloModel" -->
<p>General-purpose Monte Carlo model for path samples.
<a href="class_quant_lib_1_1_monte_carlo_model.html#details">More...</a></p>
<p><code>#include <ql/methods/montecarlo/montecarlomodel.hpp></code></p>
<p><a href="class_quant_lib_1_1_monte_carlo_model-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="a9792aacbaa395d164fe71c19940a35cf"></a><!-- doxytag: member="QuantLib::MonteCarloModel::mc_traits" ref="a9792aacbaa395d164fe71c19940a35cf" args="" -->
typedef MC< RNG > </td><td class="memItemRight" valign="bottom"><b>mc_traits</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3b06460378c6160a0308efbecfc7a63f"></a><!-- doxytag: member="QuantLib::MonteCarloModel::rng_traits" ref="a3b06460378c6160a0308efbecfc7a63f" args="" -->
typedef RNG </td><td class="memItemRight" valign="bottom"><b>rng_traits</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aab11530354ed62b0a419f90803f7a647"></a><!-- doxytag: member="QuantLib::MonteCarloModel::path_generator_type" ref="aab11530354ed62b0a419f90803f7a647" args="" -->
typedef MC< RNG ><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="a37efbc67c5d5bcba2ad1e5a6bc382563"></a><!-- doxytag: member="QuantLib::MonteCarloModel::path_pricer_type" ref="a37efbc67c5d5bcba2ad1e5a6bc382563" args="" -->
typedef MC< RNG >::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="a204507d73ca2954ec4c0b27373d2c40c"></a><!-- doxytag: member="QuantLib::MonteCarloModel::sample_type" ref="a204507d73ca2954ec4c0b27373d2c40c" args="" -->
typedef <br class="typebreak"/>
path_generator_type::sample_type </td><td class="memItemRight" valign="bottom"><b>sample_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad8e5fd95c87e9d6a3657dc6083452142"></a><!-- doxytag: member="QuantLib::MonteCarloModel::result_type" ref="ad8e5fd95c87e9d6a3657dc6083452142" args="" -->
typedef <br class="typebreak"/>
path_pricer_type::result_type </td><td class="memItemRight" valign="bottom"><b>result_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac9e2bc84dc5b8fed59e079e42208e74c"></a><!-- doxytag: member="QuantLib::MonteCarloModel::stats_type" ref="ac9e2bc84dc5b8fed59e079e42208e74c" args="" -->
typedef S </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="ac333491bacb2f08888afa1d98ae29d50"></a><!-- doxytag: member="QuantLib::MonteCarloModel::MonteCarloModel" ref="ac333491bacb2f08888afa1d98ae29d50" args="(const boost::shared_ptr< path_generator_type > &pathGenerator, const boost::shared_ptr< path_pricer_type > &pathPricer, const stats_type &sampleAccumulator, bool antitheticVariate, const boost::shared_ptr< path_pricer_type > &cvPathPricer=boost::shared_ptr< path_pricer_type >(), result_type cvOptionValue=result_type(), const boost::shared_ptr< path_generator_type > &cvPathGenerator=boost::shared_ptr< path_generator_type >())" -->
 </td><td class="memItemRight" valign="bottom"><b>MonteCarloModel</b> (const boost::shared_ptr< path_generator_type > &pathGenerator, const boost::shared_ptr< path_pricer_type > &pathPricer, const stats_type &sampleAccumulator, bool antitheticVariate, const boost::shared_ptr< path_pricer_type > &cvPathPricer=boost::shared_ptr< path_pricer_type >(), result_type cvOptionValue=result_type(), const boost::shared_ptr< path_generator_type > &cvPathGenerator=boost::shared_ptr< path_generator_type >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a77cd545c02ed7037a3e8d582ca1069c3"></a><!-- doxytag: member="QuantLib::MonteCarloModel::addSamples" ref="a77cd545c02ed7037a3e8d582ca1069c3" args="(Size samples)" -->
void </td><td class="memItemRight" valign="bottom"><b>addSamples</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> samples)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4e28dddeca06f8b74c814ace5b4fac58"></a><!-- doxytag: member="QuantLib::MonteCarloModel::sampleAccumulator" ref="a4e28dddeca06f8b74c814ace5b4fac58" args="(void) const " -->
const stats_type & </td><td class="memItemRight" valign="bottom"><b>sampleAccumulator</b> (void) const </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::MonteCarloModel< MC, RNG, S ></h3>
<p>General-purpose Monte Carlo model for path samples. </p>
<p>The template arguments of this class correspond to available policies for the particular model to be instantiated---i.e., whether it is single- or multi-asset, or whether it should use pseudo-random or low-discrepancy numbers for path generation. Such decisions are grouped in trait classes so as to be orthogonal---see <a class="el" href="mctraits_8hpp.html" title="Monte Carlo policies.">mctraits.hpp</a> for examples.</p>
<p>The constructor accepts two safe references, i.e. two smart pointers, one to a path generator and the other to a path pricer. In case of control variate technique the user should provide the additional control option, namely the option path pricer and the option value. </p>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_discrete_hedging_8cpp-example.html#_a30">DiscreteHedging.cpp</a>.</dd>
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