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| MCEuropeanHestonEngine (const ext::shared_ptr< P > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) |
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void | calculate () const |
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result_type | value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const |
| add samples until the required absolute tolerance is reached
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result_type | valueWithSamples (Size samples) const |
| simulate a fixed number of samples
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result_type | errorEstimate () const |
| error estimated using the samples simulated so far
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const stats_type & | sampleAccumulator () const |
| access to the sample accumulator for richer statistics
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void | calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const |
| basic calculate method provided to inherited pricing engines
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ext::shared_ptr< path_pricer_type > | pathPricer () const |
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| MCVanillaEngine (const ext::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) |
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TimeGrid | timeGrid () const |
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ext::shared_ptr< path_generator_type > | pathGenerator () const |
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result_type | controlVariateValue () const |
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| McSimulation (bool antitheticVariate, bool controlVariate) |
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virtual ext::shared_ptr< path_pricer_type > | pathPricer () const=0 |
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virtual ext::shared_ptr< path_pricer_type > | controlPathPricer () const |
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virtual ext::shared_ptr< path_generator_type > | controlPathGenerator () const |
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virtual ext::shared_ptr< PricingEngine > | controlPricingEngine () const |
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template<class RNG = PseudoRandom, class S = Statistics, class P = HestonProcess>
class QuantLib::MCEuropeanHestonEngine< RNG, S, P >
Monte Carlo Heston-model engine for European options.
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature