- QuantLib
- MCAmericanEngine
American Monte Carlo engine. More...
#include <ql/pricingengines/vanilla/mcamericanengine.hpp>
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 >()) | |
void | calculate () const |
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 |
American Monte Carlo engine.
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