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

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< PricingEngine > | controlPricingEngine () const |