General-purpose Monte Carlo model for path samples
The template arguments of this class correspond to available
policies for the particular model to be instantiated---i.e.,
whether it is single- or multi-asset, or whether it should use
pseudo-random or low-discrepancy numbers for path
generation. Such decisions are grouped in trait classes so as
to be orthogonal---see mctraits.hpp for examples.
The constructor accepts two safe references, i.e. two smart
pointers, one to a path generator and the other to a path
pricer. In case of control variate technique the user should
provide the additional control option, namely the option path
pricer and the option value.
General-purpose Monte Carlo model for path samples
The template arguments of this class correspond to available policies for the particular model to be instantiated---i.e., whether it is single- or multi-asset, or whether it should use pseudo-random or low-discrepancy numbers for path generation. Such decisions are grouped in trait classes so as to be orthogonal---see mctraits.hpp for examples.
The constructor accepts two safe references, i.e. two smart pointers, one to a path generator and the other to a path pricer. In case of control variate technique the user should provide the additional control option, namely the option path pricer and the option value.