QuantLib::McCliquetOption Class Reference

#include <mccliquetoption.hpp>

List of all members.

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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
boost::shared_ptr < MonteCarloModel< MC, S > >	mcModel_
Static Protected Attributes
static const Size	minSample_ = 1023

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

• QuantLib-0.3.11/ql/Pricers/mccliquetoption.hpp
• QuantLib-0.3.11/ql/Pricers/mccliquetoption.cpp