1Monte Carlo framework(3)           QuantLib           Monte Carlo framework(3)
2
3
4

NAME

6       Monte Carlo framework -
7

Detailed Description

9       This framework (corresponding to the ql/MonteCarlo directory) contains
10       basic building blocks for Monte Carlo simulations.
11
12   Classes
13       class BrownianBridge
14           Builds Wiener process paths using Gaussian variates.
15       class EarlyExercisePathPricer
16           base class for early exercise path pricers
17       class LongstaffSchwartzPathPricer
18           Longstaff-Schwarz path pricer for early exercise options.
19       class MonteCarloModel
20           General-purpose Monte Carlo model for path samples.
21       class MultiPath
22           Correlated multiple asset paths.
23       class MultiPathGenerator
24           Generates a multipath from a random number generator.
25       class Path
26           single-factor random walk
27       class PathGenerator
28           Generates random paths using a sequence generator.
29       class PathPricer
30           base class for path pricers
31       struct Sample
32           weighted sample
33
34
35
36Version 0.8.1                     29 Oct 2007         Monte Carlo framework(3)