MCHullWhiteCapFloorEngine Class Template Reference
[Cap/floor engines]
#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>
Inheritance diagram for MCHullWhiteCapFloorEngine:

Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCHullWhiteCapFloorEngine< RNG, S >
Monte Carlo Hull-White engine for cap/floors.
Public Types | |
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typedef simulation::path_generator_type | path_generator_type |
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typedef simulation::path_pricer_type | path_pricer_type |
| typedef simulation::stats_type | stats_type |
Public Member Functions | |
| MCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| void | calculate () const |
Protected Member Functions | |
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boost::shared_ptr < path_pricer_type > | pathPricer () const |
| TimeGrid | timeGrid () const |
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boost::shared_ptr < path_generator_type > | pathGenerator () const |