MCPagodaEngine< RNG, S > Class Template Reference

Pricing engine for pagoda options using Monte Carlo simulation. More...

#include <ql/experimental/exoticoptions/mcpagodaengine.hpp>

Inheritance diagram for MCPagodaEngine< RNG, S >:

Public Types
typedef McSimulation < MultiVariate, RNG, S > ::path_generator_type	path_generator_type

typedef McSimulation < MultiVariate, RNG, S > ::path_pricer_type	path_pricer_type

typedef McSimulation < MultiVariate, RNG, S > ::stats_type	stats_type

Public Types inherited from McSimulation< MultiVariate, RNG, S >
typedef MonteCarloModel < MultiVariate, RNG, S > ::path_generator_type	path_generator_type

typedef MonteCarloModel < MultiVariate, RNG, S > ::path_pricer_type	path_pricer_type

typedef MonteCarloModel < MultiVariate, RNG, S > ::stats_type	stats_type

typedef MonteCarloModel < MultiVariate, RNG, S > ::result_type	result_type

Public Member Functions
	MCPagodaEngine (const boost::shared_ptr< StochasticProcessArray > &, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

void	calculate () const

Public Member Functions inherited from McSimulation< MultiVariate, RNG, S >
result_type	value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
	add samples until the required absolute tolerance is reached

result_type	valueWithSamples (Size samples) const
	simulate a fixed number of samples

result_type	errorEstimate () const
	error estimated using the samples simulated so far

const stats_type &	sampleAccumulator (void) const
	access to the sample accumulator for richer statistics

void	calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
	basic calculate method provided to inherited pricing engines

Additional Inherited Members
Protected Member Functions inherited from McSimulation< MultiVariate, RNG, S >
	McSimulation (bool antitheticVariate, bool controlVariate)

virtual boost::shared_ptr < path_pricer_type >	controlPathPricer () const

virtual boost::shared_ptr < path_generator_type >	controlPathGenerator () const

virtual boost::shared_ptr < PricingEngine >	controlPricingEngine () const

virtual result_type	controlVariateValue () const

Static Protected Member Functions inherited from McSimulation< MultiVariate, RNG, S >
static Real	maxError (const Sequence &sequence)

static Real	maxError (Real error)

Protected Attributes inherited from GenericEngine< PagodaOption::arguments, PagodaOption::results >
PagodaOption::arguments	arguments_

PagodaOption::results	results_

Protected Attributes inherited from McSimulation< MultiVariate, RNG, S >
boost::shared_ptr < MonteCarloModel < MultiVariate, RNG, S > >	mcModel_

bool	antitheticVariate_

bool	controlVariate_

Detailed Description

Pricing engine for pagoda options using Monte Carlo simulation.