Pricing engine for pagoda options using Monte Carlo simulation. More...
#include <ql/experimental/exoticoptions/mcpagodaengine.hpp>
Inheritance diagram for MCPagodaEngine< RNG, S >:Public Types | |
| typedef McSimulation< MultiVariate, RNG, S >::path_generator_type | path_generator_type |
| typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type | path_pricer_type |
| typedef McSimulation< MultiVariate, RNG, S >::stats_type | stats_type |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Types inherited from McSimulation< MultiVariate, PseudoRandom, Statistics > | |
| typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::path_generator_type | path_generator_type |
| typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::path_pricer_type | path_pricer_type |
| typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::stats_type | stats_type |
| typedef MonteCarloModel< MultiVariate, PseudoRandom, Statistics >::result_type | result_type |
Public Member Functions | |
| MCPagodaEngine (const ext::shared_ptr< StochasticProcessArray > &, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< PagodaOption::arguments, PagodaOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
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< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics > | |
| 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 () 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 | |
Additional Inherited Members | |
Protected Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics > | |
| McSimulation (bool antitheticVariate, bool controlVariate) | |
| virtual ext::shared_ptr< path_pricer_type > | pathPricer () const=0 |
| virtual ext::shared_ptr< path_generator_type > | pathGenerator () const=0 |
| virtual TimeGrid | timeGrid () const=0 |
| virtual ext::shared_ptr< path_pricer_type > | controlPathPricer () const |
| virtual ext::shared_ptr< path_generator_type > | controlPathGenerator () const |
| virtual ext::shared_ptr< PricingEngine > | controlPricingEngine () const |
| virtual result_type | controlVariateValue () const |
Static Protected Member Functions inherited from McSimulation< MultiVariate, PseudoRandom, Statistics > | |
| static Real | maxError (const Sequence &sequence) |
| static Real | maxError (Real error) |
Protected Attributes inherited from GenericEngine< PagodaOption::arguments, PagodaOption::results > | |
| PagodaOption::arguments | arguments_ |
| PagodaOption::results | results_ |
Protected Attributes inherited from McSimulation< MultiVariate, PseudoRandom, Statistics > | |
| ext::shared_ptr< MonteCarloModel< MultiVariate, PseudoRandom, Statistics > > | mcModel_ |
| bool | antitheticVariate_ |
| bool | controlVariate_ |
Pricing engine for pagoda options using Monte Carlo simulation.