- QuantLib
- MCHullWhiteCapFloorEngine
 
Monte Carlo Hull-White engine for cap/floors. More...
#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

| Public Types | |
| typedef simulation::path_generator_type | path_generator_type | 
| typedef simulation::path_pricer_type | path_pricer_type | 
| typedef simulation::stats_type | stats_type | 
| Public Member Functions | |
| MCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| void | calculate () const | 
| Protected Member Functions | |
| boost::shared_ptr < path_pricer_type > | pathPricer () const | 
| TimeGrid | timeGrid () const | 
| boost::shared_ptr < path_generator_type > | pathGenerator () const | 
Monte Carlo Hull-White engine for cap/floors.