#include <mc.hpp>

Public Types
enum class	Bridge { None , BrownianBridge }

enum class	Qmc { None , Sobol , SobolScrambled }

Public Attributes
bool	antithetic {true}

Bridge	bridge {Bridge::None}

bool	control_variate {true}

double	dividend

std::optional< quant::PiecewiseConstant >	dividend_schedule {}

std::uint64_t	num_paths

int	num_steps {1}

Qmc	qmc {Qmc::None}

double	rate

std::optional< quant::PiecewiseConstant >	rate_schedule {}

quant::rng::Mode	rng {quant::rng::Mode::Counter}

std::uint64_t	seed

double	spot

double	strike

double	time

double	vol

std::optional< quant::PiecewiseConstant >	vol_schedule {}

Detailed Description

Monte Carlo parameters for European option pricing.

Configure the simulation engine, variance reduction, and RNG sampler.

Member Enumeration Documentation

◆ Bridge

enum class quant::mc::McParams::Bridge

strong

Enumerator
None
BrownianBridge

◆ Qmc

enum class quant::mc::McParams::Qmc

strong

Enumerator
None
Sobol
SobolScrambled

Member Data Documentation

◆ antithetic

bool quant::mc::McParams::antithetic {true}

◆ bridge

Bridge quant::mc::McParams::bridge {Bridge::None}

◆ control_variate

bool quant::mc::McParams::control_variate {true}

◆ dividend

double quant::mc::McParams::dividend

◆ dividend_schedule

std::optional<quant::PiecewiseConstant> quant::mc::McParams::dividend_schedule {}

◆ num_paths

std::uint64_t quant::mc::McParams::num_paths

◆ num_steps

int quant::mc::McParams::num_steps {1}

◆ qmc

Qmc quant::mc::McParams::qmc {Qmc::None}

◆ rate

double quant::mc::McParams::rate

◆ rate_schedule

std::optional<quant::PiecewiseConstant> quant::mc::McParams::rate_schedule {}

◆ rng

quant::rng::Mode quant::mc::McParams::rng {quant::rng::Mode::Counter}

◆ seed

std::uint64_t quant::mc::McParams::seed

◆ spot

double quant::mc::McParams::spot

◆ strike

double quant::mc::McParams::strike

◆ time

double quant::mc::McParams::time

◆ vol

double quant::mc::McParams::vol

◆ vol_schedule

std::optional<quant::PiecewiseConstant> quant::mc::McParams::vol_schedule {}

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

include/quant/mc.hpp

Public Types

Public Attributes