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_type & | sampleAccumulator (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< PricingEngine > | controlPricingEngine () 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_type > | controlPathGenerator () 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< StochasticProcess > | process_ |
| 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_ |
American Monte Carlo engine.
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