Class MCPRPerformanceEngine

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

MCPerformanceEngine on pseudo-random draws with QuantLib's default statistics: QuantLib-Python's MCPRPerformanceEngine, QuantLib's MCPerformanceEngine<PseudoRandom>, its calculations closed at PseudoRandom and GeneralStatistics.

public static class MCPRPerformanceEngine

Inheritance

object

MCPRPerformanceEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(CliquetOption, EvaluationContext, GeneralizedBlackScholesProcess, bool, bool, int?, double?, int?, long)

Prices a performance option by Monte Carlo.

public static OneAssetOptionResults Calculate(CliquetOption option, EvaluationContext context, GeneralizedBlackScholesProcess process, bool brownianBridge, bool antitheticVariate, int? requiredSamples, double? requiredTolerance, int? maxSamples, long seed)

Parameters

option CliquetOption

The option.

context EvaluationContext

The evaluation context.

process GeneralizedBlackScholesProcess

The Black-Scholes process.

brownianBridge bool

Whether the draws are ordered by a Brownian bridge.

antitheticVariate bool

Whether antithetic variates are used.

requiredSamples int?

The number of samples, or null.

requiredTolerance double?

The absolute tolerance, or null; it takes precedence.

maxSamples int?

The most samples for a tolerance, or null for no limit.

seed long

The seed, in [1, 4294967295].

Returns

OneAssetOptionResults

The option's results, the NPV and the error estimate; the expired results when it has expired.

Exceptions

ArgumentNullException

The option, the context or the process is null.

ArgumentOutOfRangeException

A number of samples is negative, or the seed is outside its range.

NanoQLException

The option's terms are invalid, neither a tolerance nor a number of samples is given, or the samples can't reach the tolerance.