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Class McSimulation

base class for Monte Carlo engines

Eventually this class might offer greeks methods. Deriving a class from McSimulation gives an easy way to write a Monte Carlo engine.

See McVanillaEngine as an example.

Hierarchy

  • McSimulation

Implemented by

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    Returns McSimulation

Properties

MC

MC: mc_traits

RNG

RNG: rng_traits

S

S: any

_antitheticVariate

_antitheticVariate: boolean

_controlVariate

_controlVariate: boolean

_mcModel

_mcModel: MonteCarloModel

Methods

calculate1

  • calculate1(requiredTolerance: Real, requiredSamples: Size, maxSamples: Size): void

  • Parameters

    • requiredTolerance: Real
    • requiredSamples: Size
    • maxSamples: Size

    Returns void

controlPathGenerator

controlPathPricer

controlPricingEngine

  • Returns PricingEngine

controlVariateValue

  • controlVariateValue(): Real

  • Returns Real

errorEstimate

  • errorEstimate(): Real

  • Returns Real

mcsInit

  • mcsInit(antitheticVariate: boolean, controlVariate: boolean): McSimulation

  • Parameters

    • antitheticVariate: boolean
    • controlVariate: boolean

    Returns McSimulation

pathGenerator

pathPricer

sampleAccumulator

  • Returns RiskStatistics

timeGrid

  • Returns TimeGrid

value

  • Parameters

    • tolerance: Real
    • Default value maxSamples: Size = QL_MAX_INTEGER
    • Default value minSamples: Size = 1023

    Returns Real

valueWithSamples

  • Parameters

    Returns Real

Static maxError1

  • Parameters

    Returns Real

Static maxError2

  • Parameters

    Returns Real