QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Types | Public Member Functions | Protected Member Functions | List of all members
MCEuropeanGJRGARCHEngine< RNG, S > Class Template Reference

Monte Carlo GJR-GARCH-model engine for European options. More...

#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>

+ Inheritance diagram for MCEuropeanGJRGARCHEngine< RNG, S >:

Public Types

typedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type
 
- Public Types inherited from McSimulation< MultiVariate, RNG, S >
typedef MonteCarloModel< MultiVariate, RNG, S >::path_generator_type path_generator_type
 
typedef MonteCarloModel< MultiVariate, RNG, S >::path_pricer_type path_pricer_type
 
typedef MonteCarloModel< MultiVariate, RNG, S >::stats_type stats_type
 
typedef MonteCarloModel< MultiVariate, RNG, S >::result_type result_type
 

Public Member Functions

 MCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
 
- Public Member Functions inherited from MCVanillaEngine< MultiVariate, RNG, S >
void calculate () const
 
- Public Member Functions inherited from McSimulation< MultiVariate, RNG, S >
result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
 add samples until the required absolute tolerance is reached
 
result_type valueWithSamples (Size samples) const
 simulate a fixed number of samples
 
result_type errorEstimate () const
 error estimated using the samples simulated so far
 
const stats_typesampleAccumulator (void) const
 access to the sample accumulator for richer statistics
 
void calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
 basic calculate method provided to inherited pricing engines
 

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const
 
- Protected Member Functions inherited from MCVanillaEngine< MultiVariate, RNG, S >
 MCVanillaEngine (const boost::shared_ptr< StochasticProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
 
TimeGrid timeGrid () const
 
boost::shared_ptr< path_generator_typepathGenerator () const
 
result_type controlVariateValue () const
 
- Protected Member Functions inherited from McSimulation< MultiVariate, RNG, S >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual boost::shared_ptr< path_pricer_typecontrolPathPricer () const
 
virtual boost::shared_ptr< path_generator_typecontrolPathGenerator () const
 
virtual boost::shared_ptr< PricingEnginecontrolPricingEngine () const
 

Additional Inherited Members

- Protected Types inherited from MCVanillaEngine< MultiVariate, RNG, S >
typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type
 
typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type
 
typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type
 
typedef McSimulation< MultiVariate, RNG, S >::result_type result_type
 
- Static Protected Member Functions inherited from McSimulation< MultiVariate, RNG, S >
static Real maxError (const Sequence &sequence)
 
static Real maxError (Real error)
 
- Protected Attributes inherited from MCVanillaEngine< MultiVariate, RNG, S >
boost::shared_ptr< StochasticProcessprocess_
 
Size timeSteps_
 
Size timeStepsPerYear_
 
Size requiredSamples_
 
Size maxSamples_
 
Real requiredTolerance_
 
bool brownianBridge_
 
BigNatural seed_
 
- Protected Attributes inherited from McSimulation< MultiVariate, RNG, S >
boost::shared_ptr< MonteCarloModel< MultiVariate, RNG, S > > mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCEuropeanGJRGARCHEngine< RNG, S >

Monte Carlo GJR-GARCH-model engine for European options.

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature