MCPerformanceEngine< RNG, S > Class Template Reference

### A free/open-source library for quantitative finance

Public Types | Public Member Functions | Protected Member Functions | Protected Attributes
MCPerformanceEngine< RNG, S > Class Template Reference

Pricing engine for performance options using Monte Carlo simulation. More...

`#include <ql/pricingengines/cliquet/mcperformanceengine.hpp>`

Inheritance diagram for MCPerformanceEngine< RNG, S >:
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List of all members.

## Public Types
typedef McSimulation < SingleVariate, RNG, S > ::path_generator_type | path_generator_type
typedef McSimulation < SingleVariate, RNG, S > ::path_pricer_type | path_pricer_type
typedef McSimulation < SingleVariate, RNG, S > ::stats_type | stats_type
## Public Member Functions
| MCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void | calculate () const
## Protected Member Functions
TimeGrid | timeGrid () const
boost::shared_ptr < path_generator_type > | pathGenerator () const
boost::shared_ptr < path_pricer_type > | pathPricer () const
## Protected Attributes
boost::shared_ptr < GeneralizedBlackScholesProcess > | process_
Size | requiredSamples_
Size | maxSamples_
Real | requiredTolerance_
bool | brownianBridge_
BigNatural | seed_

## Detailed Description

### template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCPerformanceEngine< RNG, S >

Pricing engine for performance options using Monte Carlo simulation.