Monte Carlo framework
Detailed Description
This framework (corresponding to the ql/MonteCarlo directory) contains basic building blocks for Monte Carlo simulations.
Classes | |
| class | BrownianBridge |
| Builds Wiener process paths using Gaussian variates. More... | |
| class | EarlyExercisePathPricer |
| base class for early exercise path pricers More... | |
| class | LongstaffSchwartzPathPricer |
| Longstaff-Schwarz path pricer for early exercise options. More... | |
| class | MonteCarloModel |
| General-purpose Monte Carlo model for path samples. More... | |
| class | MultiPath |
| Correlated multiple asset paths. More... | |
| class | MultiPathGenerator |
| Generates a multipath from a random number generator. More... | |
| class | Path |
| single-factor random walk More... | |
| class | PathGenerator |
| Generates random paths using a sequence generator. More... | |
| class | PathPricer |
| base class for path pricers More... | |
| struct | Sample |
| weighted sample More... | |