MCDiscreteAveragingAsianEngine Class Template Reference
[Asian option engines]

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

Inheritance diagram for MCDiscreteAveragingAsianEngine:

List of all members.


Detailed Description

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

Pricing engine for discrete average Asians using Monte Carlo simulation.

Warning:
control-variate calculation is disabled under VC++6.

Public Types

typedef McSimulation
< SingleVariate, RNG, S >
::path_generator_type 
path_generator_type
typedef McSimulation
< SingleVariate, RNG, S >
::path_pricer_type 
path_pricer_type
typedef McSimulation
< SingleVariate, RNG, S >
::stats_type 
stats_type

Public Member Functions

 MCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
void calculate () const

Protected Member Functions

TimeGrid timeGrid () const
boost::shared_ptr
< path_generator_type > 
pathGenerator () const
Real controlVariateValue () const

Protected Attributes

boost::shared_ptr
< GeneralizedBlackScholesProcess
process_
Size maxTimeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_