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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > Class Template Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_m_c_longstaff_schwartz_path_engine.html">MCLongstaffSchwartzPathEngine</a></li> </ul>
</div>
</div><!-- top -->
<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> |
<a href="class_quant_lib_1_1_m_c_longstaff_schwartz_path_engine-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > Class Template Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
</div><!--header-->
<div class="contents">
<p>Longstaff-Schwarz Monte Carlo engine for early exercise options.
<a href="class_quant_lib_1_1_m_c_longstaff_schwartz_path_engine.html#details">More...</a></p>
<p><code>#include <ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_m_c_longstaff_schwartz_path_engine__inherit__graph.png" border="0" usemap="#a_m_c_longstaff_schwartz_path_engine_3_01_generic_engine_00_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_m_c_longstaff_schwartz_path_engine_3_01_generic_engine_00_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map" id="a_m_c_longstaff_schwartz_path_engine_3_01_generic_engine_00_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map">
<area shape="rect" title="Longstaff-Schwarz Monte Carlo engine for early exercise options." alt="" coords="105,169,323,211"/>
<area shape="rect" href="class_quant_lib_1_1_generic_engine.html" title="template base class for option pricing engines" alt="" coords="22,80,203,121"/>
<area shape="rect" href="class_quant_lib_1_1_pricing_engine.html" title="interface for pricing engines" alt="" coords="5,5,108,32"/>
<area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="133,5,207,32"/>
<area shape="rect" href="class_quant_lib_1_1_mc_simulation.html" title=" " alt="" coords="227,80,403,121"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr class="memitem:a448f662b148297f7628d0db98064f1c2"><td class="memItemLeft" align="right" valign="top"><a id="a448f662b148297f7628d0db98064f1c2"></a>
typedef MC< RNG >::path_type </td><td class="memItemRight" valign="bottom"><b>path_type</b></td></tr>
<tr class="separator:a448f662b148297f7628d0db98064f1c2"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9e8c6745d46fec52af674b05ce5b75d7"><td class="memItemLeft" align="right" valign="top"><a id="a9e8c6745d46fec52af674b05ce5b75d7"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG, S >::<a class="el" href="class_quant_lib_1_1_generic_risk_statistics.html">stats_type</a> </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr class="separator:a9e8c6745d46fec52af674b05ce5b75d7"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7922dd7fea2c004ef3dc817d274cfe84"><td class="memItemLeft" align="right" valign="top"><a id="a7922dd7fea2c004ef3dc817d274cfe84"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, 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 class="separator:a7922dd7fea2c004ef3dc817d274cfe84"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2e301ff1e9761ffd43e2e8a626d5ae90"><td class="memItemLeft" align="right" valign="top"><a id="a2e301ff1e9761ffd43e2e8a626d5ae90"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG, S >::<a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr class="separator:a2e301ff1e9761ffd43e2e8a626d5ae90"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
<tr class="separator:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:a4e86ff468be75be1d9ec907a1af3818f inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a4e86ff468be75be1d9ec907a1af3818f"></a>
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> >::<a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr class="separator:a4e86ff468be75be1d9ec907a1af3818f inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae4588b42428cb979b0fad7369aef51a6 inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ae4588b42428cb979b0fad7369aef51a6"></a>
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> >::<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 class="separator:ae4588b42428cb979b0fad7369aef51a6 inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a38a0f2b84a876f1da1a5805922d8bb7b inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a38a0f2b84a876f1da1a5805922d8bb7b"></a>
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> >::<a class="el" href="class_quant_lib_1_1_generic_risk_statistics.html">stats_type</a> </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr class="separator:a38a0f2b84a876f1da1a5805922d8bb7b inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a94aa31e474a79b56b5921e9b5e59090d inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a94aa31e474a79b56b5921e9b5e59090d"></a>
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> >::result_type </td><td class="memItemRight" valign="bottom"><b>result_type</b></td></tr>
<tr class="separator:a94aa31e474a79b56b5921e9b5e59090d inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a661bd0475b0f959c9638f3b6e29a35e6"><td class="memItemLeft" align="right" valign="top"><a id="a661bd0475b0f959c9638f3b6e29a35e6"></a>
 </td><td class="memItemRight" valign="bottom"><b>MCLongstaffSchwartzPathEngine</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</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 brownianBridge, 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, <a class="el" href="namespace_quant_lib.html#ae3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> seed, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nCalibrationSamples=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> >())</td></tr>
<tr class="separator:a661bd0475b0f959c9638f3b6e29a35e6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a082ff96da379d5e17436372ccb3c0972"><td class="memItemLeft" align="right" valign="top"><a id="a082ff96da379d5e17436372ccb3c0972"></a>
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
<tr class="separator:a082ff96da379d5e17436372ccb3c0972"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine< ArgumentsType, ResultsType ></a></td></tr>
<tr class="memitem:a71b88a849e976521267094f05b679b4a inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="a71b88a849e976521267094f05b679b4a"></a>
PricingEngine::arguments * </td><td class="memItemRight" valign="bottom"><b>getArguments</b> () const</td></tr>
<tr class="separator:a71b88a849e976521267094f05b679b4a inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a444e176623e5142800ac5abd35556c10 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="a444e176623e5142800ac5abd35556c10"></a>
const PricingEngine::results * </td><td class="memItemRight" valign="bottom"><b>getResults</b> () const</td></tr>
<tr class="separator:a444e176623e5142800ac5abd35556c10 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad20897c5c8bd47f5d4005989bead0e55 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="ad20897c5c8bd47f5d4005989bead0e55"></a>
void </td><td class="memItemRight" valign="bottom"><b>reset</b> ()</td></tr>
<tr class="separator:ad20897c5c8bd47f5d4005989bead0e55 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_generic_engine.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
<tr class="separator:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
<tr class="separator:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
<tr class="separator:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
<tr class="separator:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
<tr class="separator:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:a5a561aadfe4f8552ee3e1a793a229973 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a5a561aadfe4f8552ee3e1a793a229973"></a>
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#a5a561aadfe4f8552ee3e1a793a229973">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 class="memdesc:a5a561aadfe4f8552ee3e1a793a229973 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">add samples until the required absolute tolerance is reached <br /></td></tr>
<tr class="separator:a5a561aadfe4f8552ee3e1a793a229973 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a19d48f0ef361732925944d5406327b62 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a19d48f0ef361732925944d5406327b62"></a>
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#a19d48f0ef361732925944d5406327b62">valueWithSamples</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> samples) const</td></tr>
<tr class="memdesc:a19d48f0ef361732925944d5406327b62 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">simulate a fixed number of samples <br /></td></tr>
<tr class="separator:a19d48f0ef361732925944d5406327b62 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2b77f533f06da69df238758cd636985e inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a2b77f533f06da69df238758cd636985e"></a>
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#a2b77f533f06da69df238758cd636985e">errorEstimate</a> () const</td></tr>
<tr class="memdesc:a2b77f533f06da69df238758cd636985e inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">error estimated using the samples simulated so far <br /></td></tr>
<tr class="separator:a2b77f533f06da69df238758cd636985e inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abf7622f9bc94fbb40425a63aea8bac43 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="abf7622f9bc94fbb40425a63aea8bac43"></a>
const <a class="el" href="class_quant_lib_1_1_generic_risk_statistics.html">stats_type</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#abf7622f9bc94fbb40425a63aea8bac43">sampleAccumulator</a> () const</td></tr>
<tr class="memdesc:abf7622f9bc94fbb40425a63aea8bac43 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">access to the sample accumulator for richer statistics <br /></td></tr>
<tr class="separator:abf7622f9bc94fbb40425a63aea8bac43 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad5f42177fb934aa1898abe8120e7d8dc inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ad5f42177fb934aa1898abe8120e7d8dc"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#ad5f42177fb934aa1898abe8120e7d8dc">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 class="memdesc:ad5f42177fb934aa1898abe8120e7d8dc inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">basic calculate method provided to inherited pricing engines <br /></td></tr>
<tr class="separator:ad5f42177fb934aa1898abe8120e7d8dc inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr class="memitem:a193be0bf3de6f67e8fa1276dd76b6b1a"><td class="memItemLeft" align="right" valign="top"><a id="a193be0bf3de6f67e8fa1276dd76b6b1a"></a>
virtual ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_longstaff_schwartz_multi_path_pricer.html">LongstaffSchwartzMultiPathPricer</a> > </td><td class="memItemRight" valign="bottom"><b>lsmPathPricer</b> () const =0</td></tr>
<tr class="separator:a193be0bf3de6f67e8fa1276dd76b6b1a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9820e026a481e4c1cb95b4d89345101c"><td class="memItemLeft" align="right" valign="top"><a id="a9820e026a481e4c1cb95b4d89345101c"></a>
<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 class="separator:a9820e026a481e4c1cb95b4d89345101c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae6583bf2aa04df4864b264950f96d72f"><td class="memItemLeft" align="right" valign="top"><a id="ae6583bf2aa04df4864b264950f96d72f"></a>
ext::shared_ptr< <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</td></tr>
<tr class="separator:ae6583bf2aa04df4864b264950f96d72f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa5f571e5ada757d8eb10dfbc93893a11"><td class="memItemLeft" align="right" valign="top"><a id="aa5f571e5ada757d8eb10dfbc93893a11"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const</td></tr>
<tr class="separator:aa5f571e5ada757d8eb10dfbc93893a11"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:ab494776b2804de3802deefd3b35e2503 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ab494776b2804de3802deefd3b35e2503"></a>
 </td><td class="memItemRight" valign="bottom"><b>McSimulation</b> (bool antitheticVariate, bool controlVariate)</td></tr>
<tr class="separator:ab494776b2804de3802deefd3b35e2503 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a061f7d2ee81dfc1fa0b3f6554f55bff6 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a061f7d2ee81dfc1fa0b3f6554f55bff6"></a>
virtual ext::shared_ptr< <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 class="separator:a061f7d2ee81dfc1fa0b3f6554f55bff6 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab54cbb740e741d61d5075716a14cf2ac inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ab54cbb740e741d61d5075716a14cf2ac"></a>
virtual ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const=0</td></tr>
<tr class="separator:ab54cbb740e741d61d5075716a14cf2ac inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6ae51c5540a0f80f270a0f9a66eb6df3 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a6ae51c5540a0f80f270a0f9a66eb6df3"></a>
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 class="separator:a6ae51c5540a0f80f270a0f9a66eb6df3 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab0baeac19d70cdc5bb45fba69e952650 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ab0baeac19d70cdc5bb45fba69e952650"></a>
virtual ext::shared_ptr< <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 class="separator:ab0baeac19d70cdc5bb45fba69e952650 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a79f272afb2a75b9cb82976068659645d inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a79f272afb2a75b9cb82976068659645d"></a>
virtual ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>controlPathGenerator</b> () const</td></tr>
<tr class="separator:a79f272afb2a75b9cb82976068659645d inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a441d284ba060bff72096605cf8d2bbd8 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a441d284ba060bff72096605cf8d2bbd8"></a>
virtual ext::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 class="separator:a441d284ba060bff72096605cf8d2bbd8 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1ea677195f04cb07a45b762a6fb0b16e inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a1ea677195f04cb07a45b762a6fb0b16e"></a>
virtual result_type </td><td class="memItemRight" valign="bottom"><b>controlVariateValue</b> () const</td></tr>
<tr class="separator:a1ea677195f04cb07a45b762a6fb0b16e inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr class="memitem:a1e8595e5b016209840f487121dbee3e7"><td class="memItemLeft" align="right" valign="top"><a id="a1e8595e5b016209840f487121dbee3e7"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr class="separator:a1e8595e5b016209840f487121dbee3e7"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1a8040241758f53937896005a5764344"><td class="memItemLeft" align="right" valign="top"><a id="a1a8040241758f53937896005a5764344"></a>
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr class="separator:a1a8040241758f53937896005a5764344"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad58dc5329a35fa64347940b5f1221fab"><td class="memItemLeft" align="right" valign="top"><a id="ad58dc5329a35fa64347940b5f1221fab"></a>
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeStepsPerYear_</b></td></tr>
<tr class="separator:ad58dc5329a35fa64347940b5f1221fab"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a51081fa144e357770bd49b179b58935c"><td class="memItemLeft" align="right" valign="top"><a id="a51081fa144e357770bd49b179b58935c"></a>
const bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</b></td></tr>
<tr class="separator:a51081fa144e357770bd49b179b58935c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7a4398e3334d904c7a7e02133d6cf0e6"><td class="memItemLeft" align="right" valign="top"><a id="a7a4398e3334d904c7a7e02133d6cf0e6"></a>
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>requiredSamples_</b></td></tr>
<tr class="separator:a7a4398e3334d904c7a7e02133d6cf0e6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a23b4d398d041075802696987e2245fce"><td class="memItemLeft" align="right" valign="top"><a id="a23b4d398d041075802696987e2245fce"></a>
const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</b></td></tr>
<tr class="separator:a23b4d398d041075802696987e2245fce"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac44a253fd9a36577d257d179e236061b"><td class="memItemLeft" align="right" valign="top"><a id="ac44a253fd9a36577d257d179e236061b"></a>
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>maxSamples_</b></td></tr>
<tr class="separator:ac44a253fd9a36577d257d179e236061b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4b3f7693fb03f7e4a6950437590d497a"><td class="memItemLeft" align="right" valign="top"><a id="a4b3f7693fb03f7e4a6950437590d497a"></a>
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>seed_</b></td></tr>
<tr class="separator:a4b3f7693fb03f7e4a6950437590d497a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa2c329ea8ac927646ea5562bdc6981c6"><td class="memItemLeft" align="right" valign="top"><a id="aa2c329ea8ac927646ea5562bdc6981c6"></a>
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>nCalibrationSamples_</b></td></tr>
<tr class="separator:aa2c329ea8ac927646ea5562bdc6981c6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abec5862edb35c0646c0981de4a582e62"><td class="memItemLeft" align="right" valign="top"><a id="abec5862edb35c0646c0981de4a582e62"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_longstaff_schwartz_multi_path_pricer.html">LongstaffSchwartzMultiPathPricer</a> > </td><td class="memItemRight" valign="bottom"><b>pathPricer_</b></td></tr>
<tr class="separator:abec5862edb35c0646c0981de4a582e62"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine< ArgumentsType, ResultsType ></a></td></tr>
<tr class="memitem:afee5e1b26214353757b120d9f5ad2169 inherit pro_attribs_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="afee5e1b26214353757b120d9f5ad2169"></a>
ArgumentsType </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
<tr class="separator:afee5e1b26214353757b120d9f5ad2169 inherit pro_attribs_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac34e18c69939ed8140f8cccc00ace941 inherit pro_attribs_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="ac34e18c69939ed8140f8cccc00ace941"></a>
ResultsType </td><td class="memItemRight" valign="bottom"><b>results_</b></td></tr>
<tr class="separator:ac34e18c69939ed8140f8cccc00ace941 inherit pro_attribs_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:ac5c688be78662f3ff27e1f0cc6d96c86 inherit pro_attribs_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ac5c688be78662f3ff27e1f0cc6d96c86"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> > > </td><td class="memItemRight" valign="bottom"><b>mcModel_</b></td></tr>
<tr class="separator:ac5c688be78662f3ff27e1f0cc6d96c86 inherit pro_attribs_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3f79786890b8283d011bf31f3b325311 inherit pro_attribs_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a3f79786890b8283d011bf31f3b325311"></a>
bool </td><td class="memItemRight" valign="bottom"><b>antitheticVariate_</b></td></tr>
<tr class="separator:a3f79786890b8283d011bf31f3b325311 inherit pro_attribs_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1c27fd78e44f207125a15990d39ad4f5 inherit pro_attribs_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a1c27fd78e44f207125a15990d39ad4f5"></a>
bool </td><td class="memItemRight" valign="bottom"><b>controlVariate_</b></td></tr>
<tr class="separator:a1c27fd78e44f207125a15990d39ad4f5 inherit pro_attribs_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_static_methods_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pro_static_methods_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Static Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:a6e88fa36deb63e5bf40cad0082068f57 inherit pro_static_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a6e88fa36deb63e5bf40cad0082068f57"></a>
static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxError</b> (const Sequence &sequence)</td></tr>
<tr class="separator:a6e88fa36deb63e5bf40cad0082068f57 inherit pro_static_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab8fcdfbea80f9ee9882c197655216b2d inherit pro_static_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ab8fcdfbea80f9ee9882c197655216b2d"></a>
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 class="separator:ab8fcdfbea80f9ee9882c197655216b2d inherit pro_static_methods_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics><br />
class QuantLib::MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S ></h3>
<p>Longstaff-Schwarz Monte Carlo engine for early exercise options. </p>
<p>References:</p>
<p>Francis Longstaff, Eduardo Schwartz, 2001. Valuing American Options by Simulation: A Simple Least-Squares Approach, The Review of Financial Studies, Volume 14, No. 1, 113-147</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000016">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|