QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Member Functions | List of all members
MCAmericanEngine< RNG, S, RNG_Calibration > Class Template Reference

American Monte Carlo engine. More...

#include <ql/pricingengines/vanilla/mcamericanengine.hpp>

+ Inheritance diagram for MCAmericanEngine< RNG, S, RNG_Calibration >:

Public Member Functions

 MCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >(), boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >())
 
void calculate () const
 
- Public Member Functions inherited from MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >
 MCLongstaffSchwartzEngine (const boost::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >())
 
void calculate () const
 
- Public Member Functions inherited from McSimulation< SingleVariate, RNG, S >
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_typesampleAccumulator (void) 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
 

Protected Member Functions

boost::shared_ptr< LongstaffSchwartzPathPricer< Path > > lsmPathPricer () const
 
Real controlVariateValue () const
 
boost::shared_ptr< PricingEnginecontrolPricingEngine () const
 
boost::shared_ptr< PathPricer< Path > > controlPathPricer () const
 
- Protected Member Functions inherited from MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >
TimeGrid timeGrid () const
 
boost::shared_ptr< path_pricer_type > pathPricer () const
 
boost::shared_ptr< path_generator_type > pathGenerator () const
 
- Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual boost::shared_ptr< path_generator_typecontrolPathGenerator () const
 

Additional Inherited Members

- Public Types inherited from MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >
typedef SingleVariate< RNG >::path_type path_type
 
typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type
 
typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type
 
typedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type
 
typedef McSimulation< SingleVariate, RNG_Calibration, S >::path_generator_type path_generator_type_calibration
 
- Public Types inherited from McSimulation< SingleVariate, RNG, S >
typedef MonteCarloModel< SingleVariate, RNG, S >::path_generator_type path_generator_type
 
typedef MonteCarloModel< SingleVariate, RNG, S >::path_pricer_type path_pricer_type
 
typedef MonteCarloModel< SingleVariate, RNG, S >::stats_type stats_type
 
typedef MonteCarloModel< SingleVariate, RNG, S >::result_type result_type
 
- Static Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
static Real maxError (const Sequence &sequence)
 
static Real maxError (Real error)
 
- Protected Attributes inherited from MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration >
boost::shared_ptr< StochasticProcessprocess_
 
const Size timeSteps_
 
const Size timeStepsPerYear_
 
const bool brownianBridge_
 
const Size requiredSamples_
 
const Real requiredTolerance_
 
const Size maxSamples_
 
const BigNatural seed_
 
const Size nCalibrationSamples_
 
const bool brownianBridgeCalibration_
 
const bool antitheticVariateCalibration_
 
const BigNatural seedCalibration_
 
boost::shared_ptr< LongstaffSchwartzPathPricer< path_type > > pathPricer_
 
boost::shared_ptr< MonteCarloModel< SingleVariate, RNG_Calibration, S > > mcModelCalibration_
 
- Protected Attributes inherited from McSimulation< SingleVariate, RNG, S >
boost::shared_ptr< MonteCarloModel< SingleVariate, RNG, S > > mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics, class RNG_Calibration = RNG>
class QuantLib::MCAmericanEngine< RNG, S, RNG_Calibration >

American Monte Carlo engine.

References:

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature