- QuantLib
- MCEuropeanEngine
 
European option pricing engine using Monte Carlo simulation. More...
#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>

| Public Types | |
| typedef MCVanillaEngine < SingleVariate, RNG, S > ::path_generator_type | path_generator_type | 
| typedef MCVanillaEngine < SingleVariate, RNG, S > ::path_pricer_type | path_pricer_type | 
| typedef MCVanillaEngine < SingleVariate, RNG, S > ::stats_type | stats_type | 
| Public Member Functions | |
| MCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| Protected Member Functions | |
| boost::shared_ptr < path_pricer_type > | pathPricer () const | 
European option pricing engine using Monte Carlo simulation.