Class MCPRHestonHullWhiteEngine

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

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

public static class MCPRHestonHullWhiteEngine

Inheritance

object

MCPRHestonHullWhiteEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(VanillaOption, EvaluationContext, HybridHestonHullWhiteProcess, int?, int?, bool, bool, int?, double?, int?, long)

Prices a European option.

public static OneAssetOptionResults Calculate(VanillaOption option, EvaluationContext context, HybridHestonHullWhiteProcess process, int? timeSteps, int? timeStepsPerYear, bool antitheticVariate, bool controlVariate, int? requiredSamples, double? requiredTolerance, int? maxSamples, long seed)

Parameters

option VanillaOption

The option.

context EvaluationContext

The evaluation context.

process HybridHestonHullWhiteProcess

The hybrid process.

timeSteps int?

The number of time steps, or null where they're given per year.

timeStepsPerYear int?

The number of time steps per year, or null.

antitheticVariate bool

Whether antithetic variates are used.

controlVariate bool

Whether the control variate is used.

requiredSamples int?

The number of samples, or null where a tolerance is given.

requiredTolerance double?

The absolute tolerance, or null.

maxSamples int?

The most samples, or null.

seed long

The seed.

Returns

OneAssetOptionResults

The option's results: its value and error estimate.

Exceptions

ArgumentNullException

An argument is null.

NanoQLException

The exercise isn't European, the process's step fails, or QuantLib's Monte Carlo checks fail.