MCEuropeanHestonEngine Class Template Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>
Inheritance diagram for MCEuropeanHestonEngine:
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston-model engine for European options.
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature
Public Types | |
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typedef MCVanillaEngine < MultiVariate, RNG, S > ::path_pricer_type | path_pricer_type |
Public Member Functions | |
| MCEuropeanHestonEngine (const boost::shared_ptr< HestonProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
Protected Member Functions | |
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boost::shared_ptr < path_pricer_type > | pathPricer () const |