Re: Manto carlo: MCEuropeanEngine

> Hi,
>
> I am trying to understand the monte carlo in QuantLib. However, I am
> getting errors when i try to call the MCEuropeanEngine.
>
> The error is as follows:
>
> myMC.cpp: In function ‘int main()’:
> myMC.cpp:55: error: expected type-specifier before ‘MCEuropeanEngine’
> myMC.cpp:55: error: expected `)' before ‘MCEuropeanEngine’
> /home/Risco/Cxx/Quant/BoostLib/include/boost-1_38/boost/shared_ptr.hpp:
> In constructor ‘boost::shared_ptr< <template-parameter-1-1>
> >::shared_ptr(Y*) [with Y = int, T =
> QuantLib::PathPricer<QuantLib::Path, double>]’:
> myMC.cpp:57:   instantiated from here
> /home/Risco/Cxx/Quant/BoostLib/include/boost-1_38/boost/shared_ptr.hpp:183:
> error: cannot convert ‘int*’ to ‘QuantLib::PathPricer<QuantLib::Path,
> double>*’ in initialization
>
> The error is from this line of the code
>
> boost::shared_ptr<PathPricer<Path> > myPathPricer(new
> MCEuropeanEngine(diffusion, timeSteps, timeStepsPerYear,
>          brownianBridge, antitheticVariate, controlVariate,
>          requiredSamples, requiredTolerance, maxSamples, seed));
>
> I have also attached the full code below as its very short. I can not
> understand why it says it expected a type specifier before
> MCEuropeanEngine if its a class template within QuantLib:
>
> #include <ql/quantlib.hpp>
> #include <boost/timer.hpp>
> #include <iostream>
> #include <iomanip>
>
> using namespace QuantLib;
>
> int main()
> {
>
>     Calendar calendar = TARGET();
>     Date today = Date::todaysDate();
>     DayCounter dayCount = Actual365Fixed();
>     Rate r_ = 0.05;
>     Real s0_ = 0.10;
>     Volatility sigma_ = 0.20;
>     Size nTimeSteps = 1;
>     Time maturity_ = 1.0/12.0;
>
>     Size timeSteps = 1;
>     Size timeStepsPerYear = 1000;
>     bool antitheticVariate = false;
>     bool controlVariate = false;
>     Size requiredSamples = 1000;
>     Real requiredTolerance = 0.001;
>     Size maxSamples = 1000;
>     BigNatural seed = 42;
>
> // calculate Input parameters from the BlackScholesMertonProcess
>     Handle<Quote> stateVariable(
>                           boost::shared_ptr<Quote>(new SimpleQuote(s0_)));
>     Handle<YieldTermStructure> riskFreeRate(
>                           boost::shared_ptr<YieldTermStructure>(
>                                       new FlatForward(today, r_,
> dayCount)));
>     Handle<YieldTermStructure> dividendYield(
>                           boost::shared_ptr<YieldTermStructure>(
>                                       new FlatForward(today, 0.0,
> dayCount)));
>     Handle<BlackVolTermStructure> volatility(
>                           boost::shared_ptr<BlackVolTermStructure>(
>                                new BlackConstantVol(today, calendar,
> sigma_, dayCount)));
> boost::shared_ptr<StochasticProcess1D> diffusion(
>                    new BlackScholesMertonProcess(stateVariable,
> dividendYield,
>                                                  riskFreeRate,
> volatility));
>
>     PseudoRandom::rsg_type rsg =
>         PseudoRandom::make_sequence_generator(nTimeSteps, 0);
>
>     bool brownianBridge = false;
>
>     typedef SingleVariate<PseudoRandom>::path_generator_type
> generator_type;
>     boost::shared_ptr<generator_type> myPathGenerator(new
>         generator_type(diffusion, maturity_, nTimeSteps,
>                        rsg, brownianBridge));
>
> boost::shared_ptr<PathPricer<Path> > myPathPricer(new
> MCEuropeanEngine(diffusion, timeSteps, timeStepsPerYear,
>          brownianBridge, antitheticVariate, controlVariate,
>          requiredSamples, requiredTolerance, maxSamples, seed));
>
> return 0;
> }
>
> Thanx in advance..
>
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