MCDiscreteGeometricAPEngine Class Template Reference
[Asian option engines]
#include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp>
Inheritance diagram for MCDiscreteGeometricAPEngine:

Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCDiscreteGeometricAPEngine< RNG, S >
Monte Carlo pricing engine for discrete geometric average price Asian.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.
Public Types | |
typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type | path_generator_type |
typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type | path_pricer_type |
typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type | stats_type |
Public Member Functions | |
MCDiscreteGeometricAPEngine (Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
Protected Member Functions | |
boost::shared_ptr< path_pricer_type > | pathPricer () const |