Class MCPRPagodaEngine

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

MCPagodaEngine on pseudo-random draws with QuantLib's default statistics: MCPRPagodaEngine, named as QuantLib-Python names its siblings, QuantLib's MCPagodaEngine<PseudoRandom>, its calculations closed at PseudoRandom and GeneralStatistics.

[Experimental("NQL0001")]
public static class MCPRPagodaEngine

Inheritance

object

MCPRPagodaEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(PagodaOption, EvaluationContext, StochasticProcessArray, bool, bool, int?, double?, int?, long)

Prices a Pagoda option.

public static MultiAssetOptionResults Calculate(PagodaOption option, EvaluationContext context, StochasticProcessArray processes, bool brownianBridge, bool antitheticVariate, int? requiredSamples, double? requiredTolerance, int? maxSamples, long seed)

Parameters

option PagodaOption

The Pagoda option.

context EvaluationContext

The evaluation context.

processes StochasticProcessArray

The assets' correlated processes, the first a Black-Scholes process.

brownianBridge bool

Whether to build the paths by a Brownian bridge.

antitheticVariate bool

Whether to use antithetic paths.

requiredSamples int?

The number of samples, or null.

requiredTolerance double?

The tolerance, or null.

maxSamples int?

The largest number of samples, or null.

seed long

The seed, in [1, 4294967295].

Returns

MultiAssetOptionResults

The value and, where the traits allow one, its error estimate.

Exceptions

ArgumentNullException

An argument is null.

ArgumentOutOfRangeException

The seed or a sample count is out of range.

NanoQLException

A fixing date precedes the evaluation date ("seasoned options are not handled") or the dates aren't sorted, the first process isn't a Black-Scholes process, neither samples nor a tolerance is given, or the simulation fails.