org.jquantlib.methods.montecarlo

Class MonteCarloModel<MC extends Variate,RNG extends RandomNumberGenerator,S extends Statistics>

java.lang.Object

org.jquantlib.methods.montecarlo.MonteCarloModel<MC,RNG,S>

public class MonteCarloModel<MC extends Variate,RNG extends RandomNumberGenerator,S extends Statistics>
extends java.lang.Object

General-purpose Monte Carlo model for path samples

The template arguments of this class correspond to available policies for the particular model to be instantiated---i.e., whether it is single- or multi-asset, or whether it should use pseudo-random or low-discrepancy numbers for path generation. Such decisions are grouped in trait classes so as to be orthogonal---see mctraits.hpp for examples.

The constructor accepts two safe references, i.e. two smart pointers, one to a path generator and the other to a path pricer. In case of control variate technique the user should provide the additional control option, namely the option path pricer and the option value.

Constructor Summary

Constructors

Constructor and Description
MonteCarloModel()

Method Summary

Modifier and Type	Method and Description
void	addSamples(int size)
S	sampleAccumulator()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MonteCarloModel

public MonteCarloModel()

Method Detail

addSamples

public void addSamples(int size)

sampleAccumulator

public S sampleAccumulator()