MCPerformanceEngine< RNG, S > Class Template Reference

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

#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

Inheritance diagram for MCPerformanceEngine< RNG, S >:

Public Types
typedef McSimulation < SingleVariate, RNG, S > ::path_generator_type	path_generator_type
typedef McSimulation < SingleVariate, RNG, S > ::path_pricer_type	path_pricer_type
typedef McSimulation < SingleVariate, RNG, S > ::stats_type	stats_type
Public Types inherited from McSimulation< SingleVariate, RNG, S >
typedef MonteCarloModel < SingleVariate, RNG, S > ::path_generator_type	path_generator_type
typedef MonteCarloModel < SingleVariate, RNG, S > ::path_pricer_type	path_pricer_type
typedef MonteCarloModel < SingleVariate, RNG, S > ::stats_type	stats_type
typedef MonteCarloModel < SingleVariate, RNG, S > ::result_type	result_type

Public Member Functions
	MCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void	calculate () const
Public Member Functions inherited from GenericEngine< CliquetOption::arguments, CliquetOption::results >
PricingEngine::arguments *	getArguments () const
const PricingEngine::results *	getResults () const
void	reset ()
void	update ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()
Public Member Functions inherited from McSimulation< SingleVariate, 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

Protected Member Functions
TimeGrid	timeGrid () const
boost::shared_ptr < path_generator_type >	pathGenerator () const
boost::shared_ptr < path_pricer_type >	pathPricer () const
Protected Member Functions inherited from McSimulation< SingleVariate, 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

Protected Attributes
boost::shared_ptr < GeneralizedBlackScholesProcess >	process_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	brownianBridge_
BigNatural	seed_
Protected Attributes inherited from GenericEngine< CliquetOption::arguments, CliquetOption::results >
CliquetOption::arguments	arguments_
CliquetOption::results	results_
Protected Attributes inherited from McSimulation< SingleVariate, RNG, S >
boost::shared_ptr < MonteCarloModel < SingleVariate, RNG, S > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

Additional Inherited Members
Static Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
static Real	maxError (const Sequence &sequence)
static Real	maxError (Real error)

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCPerformanceEngine< RNG, S >

Pricing engine for performance options using Monte Carlo simulation.