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QuantLib::McCliquetOption Class Reference

#include <mccliquetoption.hpp>

Inheritance diagram for QuantLib::McCliquetOption:

QuantLib::McPricer< MC, S >

List of all members.

Detailed Description

simple example of Monte Carlo pricer

Definition at line 36 of file mccliquetoption.hpp.

Public Member Functions

Real errorEstimate () const
 error Estimated of the samples simulated so far
 McCliquetOption (Option::Type type, Real underlying, Real moneyness, const Handle< YieldTermStructure > &dividendYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > &times, Real accruedCoupon, Real lastFixing, Real localCap, Real localFloor, Real globalCap, Real globalFloor, bool redemptionOnly, BigNatural seed=0)
const S & sampleAccumulator (void) const
 access to the sample accumulator for more statistics
Real value (Real tolerance, Size maxSample=QL_MAX_INTEGER) const
 add samples until the required tolerance is reached
Real valueWithSamples (Size samples) const
 simulate a fixed number of samples

Protected Attributes

< MonteCarloModel< MC, S > > 

Static Protected Attributes

static const Size minSample_ = 1023

The documentation for this class was generated from the following files:

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