![]() QuantLib 0.3.9Getting startedReference manual |
MCBarrierEngine Class Template Reference |
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Public Types | |
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typedef McSimulation< SingleAsset< RNG >, S >::path_generator_type | path_generator_type |
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typedef McSimulation< SingleAsset< RNG >, S >::path_pricer_type | path_pricer_type |
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typedef McSimulation< SingleAsset< RNG >, S >::stats_type | stats_type |
Public Member Functions | |
| MCBarrierEngine (Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, bool isBiased, BigNatural seed) | |
| void | calculate () const |
Protected Member Functions | |
| TimeGrid | timeGrid () const |
| boost::shared_ptr< path_generator_type > | pathGenerator () const |
| boost::shared_ptr< path_pricer_type > | pathPricer () const |
Protected Attributes | |
| Size | maxTimeStepsPerYear_ |
| Size | requiredSamples_ |
| Size | maxSamples_ |
| Real | requiredTolerance_ |
| bool | isBiased_ |
| bool | brownianBridge_ |
| BigNatural | seed_ |
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