McDiscreteArithmeticASO Class Reference
#include <ql/Pricers/mcdiscretearithmeticaso.hpp>
Inheritance diagram for McDiscreteArithmeticASO:

Detailed Description
example of Monte Carlo pricer using a control variate.
- Todo:
- continous-averaging version
Public Member Functions | |
McDiscreteArithmeticASO (Option::Type type, Real underlying, const Handle< YieldTermStructure > ÷ndYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > ×, bool controlVariate, BigNatural seed=0) |