MCDiscreteGeometricAPEngine Class Template Reference
[Asian option engines]

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

Inheritance diagram for MCDiscreteGeometricAPEngine:

Inheritance graph
[legend]
List of all members.

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