A controller for derivatives pricing via a Monte-Carlo simulation. More...

#include <ftqlib.hpp>

Public Member Functions
	MonteCarloPricer (T model)

MonteCarloResult	estimate_price (std::function< double(double)> payoff, double absolute_error, int steps, double time, double spot, bool antithetic=true, double confidence_level=0.95, int num_simulations_per_round=1000)
	A function that estimates the price of a given derivative via a Monte-Carlo simulation with a chosen method. More...

Detailed Description

A controller for derivatives pricing via a Monte-Carlo simulation.

Definition at line 67 of file ftqlib.hpp.

Constructor & Destructor Documentation

template<typename T >

MonteCarloPricer< T >::MonteCarloPricer ( T model )

inline

Definition at line 72 of file ftqlib.hpp.

template<typename T >

MonteCarloResult MonteCarloPricer< T >::estimate_price	(	std::function< double(double)>	payoff,
		double	absolute_error,
		int	steps,
		double	time,
		double	spot,
		bool	antithetic = `true`,
		double	confidence_level = `0.95`,
		int	num_simulations_per_round = `1000`
	)

inline

A function that estimates the price of a given derivative via a Monte-Carlo simulation with a chosen method.

Estimates the price of a derivative via a Monte-Carlo simulation.

Parameters

payoff	The payoff function of the derivative.
absolute_error	The absolute error of the simulation we want to have.
confidence_level	The confidence level of the simulation we want to have.
num_simulations_per_round	The number of Monte-Carlo simulations per round.

Definition at line 84 of file ftqlib.hpp.

The documentation for this class was generated from the following file: