Uses of Interface
com.quantfinlib.simulation.MonteCarloSimulator.PathPayoff

Packages that use MonteCarloSimulator.PathPayoff

Package	Description
com.quantfinlib.simulation	Monte Carlo simulation of portfolio and multi-asset price paths.

Uses of MonteCarloSimulator.PathPayoff in com.quantfinlib.simulation

Methods in com.quantfinlib.simulation with parameters of type MonteCarloSimulator.PathPayoff

Modifier and Type	Method	Description
MonteCarloSimulator.Estimate	MonteCarloSimulator.price(double[] spots, double[] drifts, double[] vols, double[][] correlation, double maturity, int steps, int paths, boolean antithetic, double discountRate, MonteCarloSimulator.PathPayoff payoff)	Discounted Monte Carlo price e^{−rT}·E[payoff] with its standard error.
double[]	MonteCarloSimulator.simulatePaths(double[] spots, double[] drifts, double[] vols, double[][] correlation, double maturity, int steps, int paths, boolean antithetic, MonteCarloSimulator.PathPayoff payoff)	Simulates paths correlated GBM paths and returns the payoff of each.