/usr/include/ql/methods/montecarlo/mctraits.hpp is in libquantlib0-dev 1.7.1-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file mctraits.hpp
\brief Monte Carlo policies
*/
#ifndef quantlib_mc_traits_hpp
#define quantlib_mc_traits_hpp
#include <ql/methods/montecarlo/pathgenerator.hpp>
#include <ql/methods/montecarlo/multipathgenerator.hpp>
#include <ql/methods/montecarlo/pathpricer.hpp>
#include <ql/math/randomnumbers/rngtraits.hpp>
namespace QuantLib {
// path generation and pricing traits
//! default Monte Carlo traits for single-variate models
template <class RNG = PseudoRandom>
struct SingleVariate {
typedef RNG rng_traits;
typedef Path path_type;
typedef PathPricer<path_type> path_pricer_type;
typedef typename RNG::rsg_type rsg_type;
typedef PathGenerator<rsg_type> path_generator_type;
enum { allowsErrorEstimate = RNG::allowsErrorEstimate };
};
//! default Monte Carlo traits for multi-variate models
template <class RNG = PseudoRandom>
struct MultiVariate {
typedef RNG rng_traits;
typedef MultiPath path_type;
typedef PathPricer<path_type> path_pricer_type;
typedef typename RNG::rsg_type rsg_type;
typedef MultiPathGenerator<rsg_type> path_generator_type;
enum { allowsErrorEstimate = RNG::allowsErrorEstimate };
};
}
#endif
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