- QuantLib
- MCPerformanceEngine
 
Pricing engine for performance options using Monte Carlo simulation. More...
#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>

| 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 Member Functions | |
| MCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| void | calculate () const | 
| Protected Member Functions | |
| TimeGrid | timeGrid () const | 
| boost::shared_ptr < path_generator_type > | pathGenerator () const | 
| boost::shared_ptr < path_pricer_type > | pathPricer () const | 
| Protected Attributes | |
| boost::shared_ptr < GeneralizedBlackScholesProcess > | process_ | 
| Size | requiredSamples_ | 
| Size | maxSamples_ | 
| Real | requiredTolerance_ | 
| bool | brownianBridge_ | 
| BigNatural | seed_ | 
Pricing engine for performance options using Monte Carlo simulation.