Pricing engine for pagoda options using Monte Carlo simulation. More...
#include <ql/experimental/exoticoptions/mcpagodaengine.hpp>
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 |
![]() | |
typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
![]() | |
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 |
![]() | |
PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
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 () |
![]() | |
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 | |
![]() | |
McSimulation (bool antitheticVariate, bool controlVariate) | |
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 Real | maxError (const Sequence &sequence) |
static Real | maxError (Real error) |
![]() | |
PagodaOption::arguments | arguments_ |
PagodaOption::results | results_ |
![]() | |
ext::shared_ptr< MonteCarloModel< MultiVariate, PseudoRandom, Statistics > > | mcModel_ |
bool | antitheticVariate_ |
bool | controlVariate_ |
Pricing engine for pagoda options using Monte Carlo simulation.