- QuantLib
- MCVanillaEngine
 
Pricing engine for vanilla options using Monte Carlo simulation. More...
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>

| Public Member Functions | |
| void | calculate () const | 
| Protected Types | |
| typedef McSimulation< MC, RNG, S >::path_generator_type | path_generator_type | 
| typedef McSimulation< MC, RNG, S >::path_pricer_type | path_pricer_type | 
| typedef McSimulation< MC, RNG, S >::stats_type | stats_type | 
| typedef McSimulation< MC, RNG, S >::result_type | result_type | 
| Protected Member Functions | |
| MCVanillaEngine (const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| TimeGrid | timeGrid () const | 
| boost::shared_ptr < path_generator_type > | pathGenerator () const | 
| result_type | controlVariateValue () const | 
| Protected Attributes | |
| boost::shared_ptr < StochasticProcess > | process_ | 
| Size | timeSteps_ | 
| Size | timeStepsPerYear_ | 
| Size | requiredSamples_ | 
| Size | maxSamples_ | 
| Real | requiredTolerance_ | 
| bool | brownianBridge_ | 
| BigNatural | seed_ | 
Pricing engine for vanilla options using Monte Carlo simulation.