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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_mc_simulation.html">McSimulation</a></li> </ul>
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<a href="#pub-types">Public Types</a> |
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<div class="title">McSimulation< MC, RNG, S > Class Template Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<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>
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Public Types</h2></td></tr>
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typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</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>
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typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</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>
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typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</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>
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typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, S >::result_type </td><td class="memItemRight" valign="bottom"><b>result_type</b></td></tr>
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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"><td class="mdescLeft"> </td><td class="mdescRight">add samples until the required absolute tolerance is reached <br /></td></tr>
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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"><td class="mdescLeft"> </td><td class="mdescRight">simulate a fixed number of samples <br /></td></tr>
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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"><td class="mdescLeft"> </td><td class="mdescRight">error estimated using the samples simulated so far <br /></td></tr>
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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"><td class="mdescLeft"> </td><td class="mdescRight">access to the sample accumulator for richer statistics <br /></td></tr>
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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"><td class="mdescLeft"> </td><td class="mdescRight">basic calculate method provided to inherited pricing engines <br /></td></tr>
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Protected Member Functions</h2></td></tr>
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 </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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virtual result_type </td><td class="memItemRight" valign="bottom"><b>controlVariateValue</b> () const</td></tr>
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Static Protected Member Functions</h2></td></tr>
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template<class Sequence > </td></tr>
<tr class="memitem:a6e88fa36deb63e5bf40cad0082068f57"><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>
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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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Protected Attributes</h2></td></tr>
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ext::shared_ptr< <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>
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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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<a name="details" id="details"></a><h2 class="groupheader">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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