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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<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_path_basket_engine.html">MCPathBasketEngine</a></li> </ul>
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<a href="#pub-types">Public Types</a> |
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<div class="title">MCPathBasketEngine< RNG, S > Class Template Reference</div> </div>
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<p>Pricing engine for path dependent basket options using.
<a href="class_quant_lib_1_1_m_c_path_basket_engine.html#details">More...</a></p>
<p><code>#include <ql/experimental/mcbasket/mcpathbasketengine.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 MCPathBasketEngine< RNG, S >:</div>
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<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:a97d0a464c09dfbac519dd3c4ed297523"><td class="memItemLeft" align="right" valign="top"><a id="a97d0a464c09dfbac519dd3c4ed297523"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, 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:a97d0a464c09dfbac519dd3c4ed297523"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6a9d35263b41b36b002797dde605d942"><td class="memItemLeft" align="right" valign="top"><a id="a6a9d35263b41b36b002797dde605d942"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, 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:a6a9d35263b41b36b002797dde605d942"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a931267be1997474da010eacc9e911b29"><td class="memItemLeft" align="right" valign="top"><a id="a931267be1997474da010eacc9e911b29"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, 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:a931267be1997474da010eacc9e911b29"><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< MultiVariate, PseudoRandom, 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>< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, <a class="el" href="namespace_quant_lib.html#af791c06b3da1d5f4b90a19f3f423e75e">PseudoRandom</a>, <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>
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<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>< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, <a class="el" href="namespace_quant_lib.html#af791c06b3da1d5f4b90a19f3f423e75e">PseudoRandom</a>, <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>
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typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, <a class="el" href="namespace_quant_lib.html#af791c06b3da1d5f4b90a19f3f423e75e">PseudoRandom</a>, <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>< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, <a class="el" href="namespace_quant_lib.html#af791c06b3da1d5f4b90a19f3f423e75e">PseudoRandom</a>, <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>
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 </td><td class="memItemRight" valign="bottom"><b>MCPathBasketEngine</b> (const ext::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, 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)</td></tr>
<tr class="separator:ac6a442bc947eb01937ae50d01e94c717"><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_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< MultiVariate, PseudoRandom, 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>
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<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>
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</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: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>
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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>
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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>
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<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< MultiVariate, PseudoRandom, 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>
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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>
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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>
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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>
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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>
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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>
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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>
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<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>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr class="memitem:ac99d54e280b8ae89b30ed7836af4849d"><td class="memItemLeft" align="right" valign="top"><a id="ac99d54e280b8ae89b30ed7836af4849d"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_array.html">StochasticProcessArray</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeStepsPerYear_</b></td></tr>
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<tr class="memitem:a937ea3e2dae694ac2df5226b1b349b22"><td class="memItemLeft" align="right" valign="top"><a id="a937ea3e2dae694ac2df5226b1b349b22"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>requiredSamples_</b></td></tr>
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<tr class="memitem:ae92c9f4ec24db42ea6eceb5919e9dea5"><td class="memItemLeft" align="right" valign="top"><a id="ae92c9f4ec24db42ea6eceb5919e9dea5"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>maxSamples_</b></td></tr>
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<tr class="memitem:aa336fe20be7a7fe0b17df1565bbc2f1a"><td class="memItemLeft" align="right" valign="top"><a id="aa336fe20be7a7fe0b17df1565bbc2f1a"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</b></td></tr>
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<tr class="memitem:a237ba632601944316deef578c245e825"><td class="memItemLeft" align="right" valign="top"><a id="a237ba632601944316deef578c245e825"></a>
bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</b></td></tr>
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<a class="el" href="namespace_quant_lib.html#ae3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> </td><td class="memItemRight" valign="bottom"><b>seed_</b></td></tr>
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<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< MultiVariate, PseudoRandom, 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>< <a class="el" href="struct_quant_lib_1_1_multi_variate.html">MultiVariate</a>, <a class="el" href="namespace_quant_lib.html#af791c06b3da1d5f4b90a19f3f423e75e">PseudoRandom</a>, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> > > </td><td class="memItemRight" valign="bottom"><b>mcModel_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>antitheticVariate_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>controlVariate_</b></td></tr>
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<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< MultiVariate, PseudoRandom, 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>
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<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>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class RNG = PseudoRandom, class S = Statistics><br />
class QuantLib::MCPathBasketEngine< RNG, S ></h3>
<p>Pricing engine for path dependent basket options using. </p>
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