MCDiscreteArithmeticAPEngine Class Template Reference
[Asian option engines]

#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>

Inheritance diagram for MCDiscreteArithmeticAPEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCDiscreteArithmeticAPEngine< RNG, S >

Monte Carlo pricing engine for discrete arithmetic average price Asian.

Monte Carlo pricing engine for discrete arithmetic average price Asian options. It can use MCDiscreteGeometricAPEngine (Monte Carlo discrete arithmetic average price engine) and AnalyticDiscreteGeometricAveragePriceAsianEngine (analytic discrete arithmetic average price engine) for control variation.

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

 MCDiscreteArithmeticAPEngine (Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural)

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const
boost::shared_ptr< path_pricer_type > controlPathPricer () const
boost::shared_ptr< PricingEnginecontrolPricingEngine () const